There are many programs that will help you do this. First, you need to convert the movie to the appropriate format (i.e. DVD format) unless your player will play AVI or MPEG movies. Then you can burn it to CD or DVD (depending on which format you convert to). Check out the guides on this website:

AfterDawn.com

Good Luck

Dano

P.S. This can be a time consuming and frustrating process until you get good at it. Beware: there are many easy-to-use programs that produce poor quality movies. I would recommend TMPGEnc Plus 2.5...there are many good guides available for this program.