Many newer dvd players are capable of playing divx and xvid encoded avi files. Does this apply for you, or does your player not have that ability?
If you want to convert various types of video files to DVD-video, there are many different programs available for this, including some free ones like DVDFlick, AVStoDVD and FAVC. You can find more at videohelp.com.
A commercial conversion product that is popular around here is ConvertXtoDVD.