Hi Leah, Me personally would definately do away with WMP. I hate it, but thats just me. You can try going to Start > Control Panel > Add/Remove Program, and after it populates you should be able to scroll down to see what version Nero you have. I am not a Nero user so I can't tell you how to burn movies with Nero. Sorry
You will have to convert the file to DVD format first before you burn. Also the safest video files to download are AVI Files and always use Bitzi to check the files before you download.
Fake files showing up in search results How to find music (tips for video also)