How do you mean they are saved as movie files? There are a lot of different movie file extensions out there and without an extension it will be hard for others to say.
Stick any disc you have burnt into your PC and explore them you will find they contain VIDEO_TS and AUDIO_TS filder, inside the video folder you will find the vob files amongst others as this is what the DVD players recognise. The audio folder is empty.
As to why they are different each prog has it's own way of storing the thing being copied on your hdd before burning.