You'll have to convert the file to DVD format & then burn. There are lots of programs that will do it in one hit. I used DVD Santa in the past but now I'm using Nero 7 Ultra. If you use the forum search to look for convert DVD or burn DVD - you'll find heaps of old threads with more info.

You could also try these sites, they have lots of info & guides.
AfterDawn.com: Guides and articles
VideoHelp.com