I've never worked with burning DVDs but I did find some useful info for you at http://forums.afterdawn.com/thread_view.cfm/172 with what appears to be good information.

From what I've read there's 2 issues. First is the format (file type) of the original move and possibly having to convert that to a format that the DVD player can use. Second is actually burning the movie now that it's properly formatted/encoded onto the DVD. I assume you have software to handle that part.

When you say that you cannot open the file, do you mean you cannot open it in your DVD burning software? What format is it in (DivX, MPEG, AVI)? What formats do your DVD burning software support? What error message do you get when you try?