Welcome to the forums JupiterHaze. You neglected to mention exactly which program you are trying to use.
DVD players that are capable of playing avi files will normally only play those that use either the xvid or divx codecs for video. You should make certain that your avi files meet the requirements of your player before doing anything. There are limitations on resolution, bitrate, and audio. You can examine your avi files with MediaInfo to find out their characteristics.
Once you have determined that, you can burn as simple data files to the disk. Virtually any burning program can do this. I normally recommend ImgBurn...a very well respected, free burning program. www.imgburn.com