Depends on what you are trying to do. If you are trying to get avi or wmv files to work in a regular dvd player, most of the time you'll want to convert to dvd compliant mpeg2 files in the dvd format---vob files in a Video_TS folder. Many of the newer dvd players can cope with Divx or Xvid files without having to convert.
Some popular programs around here for converting avi to dvd are ConvertXtoDVD, and the Ulead programs Studio 10 and MovieFactory 6. Nero Vision can do this, but I don't like the quality it produces. There are a few free ones as well, like SUPER and AVI2DVD.
Some of us like to use a separate mpeg encoder and then an authoring program so we have a little more control. Good encoders include TMPGenc Plus, ProCoder2, CCE Basic and MainConcept. I'm not sure all of the encoders and conversion programs I've mentioned can handle wmv files as the input. You'd just have to check them out.
Authoring programs range from extremely complicated and expensive to very basic. I like DVDLab Pro, but it isn't cheap. Two free ones would be DVDStyler and GUIforDVDAuthor.
Once you have your dvd encoded, you can burn to disk with Nero Express if you wish. You'll want to select DVD-Video files as the option when you burn to disk. I use a free program called ImgBurn most of the time. There are some good guides for its use at the ImgBurn website forum.
I wouldn't burn at top speed, use 8x or 12x at the most. And I'd stick to Verbatim 16x +R or Taiyo Yuden 8x +R disks.
If you have divx or xvid files, and your player is capable of using them, then you just burn them to disk as regular data files.
That should be a fair amount of info to chew through. Post again if/when you get stuck.