Normally a player that can handle avi files will give you a list of files on the disk to choose from when you have more than one on the disk. You'd just have to try it on a dvd and see if it would do so.
You can burn to a disk as data using ImgBurn....just import them in Build mode and have it output straight to the burner.
A basic program for converting avi and mpeg files to dvd format would be something like DVDFlick, AVStoDVD or FAVC. All easily found via Google. The menus are rudimentary in these, and not easily adjustable.
A more advanced dvd authoring program would be something like TMPGenc Authoring Works (which would convert as well as give you options in the creation of the dvd).
If you convert to dvd compliant mpeg2 first, you can use a pure authoring program....there are some free ones like GUIforDVDAuthor which have very good flexibility, and there are some rather expensive ones like DVDLab Pro which are more polished and easier to use.