Many newer dvd players are able to play avi files, especially those encoded with divx or xvid codecs and they are relatively inexpensive these days, so that is one option.
If you don’t want to invest in a new player :), and your current dvd player won’t play avi’s, then you’ll need to convert to dvd-video format.
Look into DVDFlick or FAVC to convert the avi to dvd-video format. Both are free to download and use. You can burn this to a blank dvd disk using a free program called ImgBurn, and you can even have FAVC burn the disk automatically using ImgBurn if you set that option.
Get some good disks. Verbatim 16x is recommended quite often around here.
This whole line of advice does assume you have a dvd burner of course.