.vob files are mpeg-2 files. same standard, different name.
if you're trying to burn a dvd you don't need "any" of those three files, you need all of them.
nero vision express will do it among other programs. try searching either cdfreaks or google for "mpeg to dvd" and you should get some leads.
also it would be prudent on your part to include what exactly you're trying to covert. mpeg-2, mpeg-4, etc, etc