Welcome to the forums Kat39.
Assuming this is a legal download, we can help. If your dvd player has support for divx or xvid avi files, you can burn that type of video straight to a disk as a data file. If your player doesn't have support for those, or if this video is in a different format, then you'll need to convert the files to dvd-video.
I recommend one of these free programs for that process: DVDFlick or AVStoDVD. DVDFlick is probably a little easier to use for beginners.
Both can be set up to burn automatically. Make sure the output is set to match your country's dvd standard...in the US we use NTSC, while most of the rest of the world uses PAL for their dvd specifications.
Use good quality disks, like Verbatim 16x, and burn at a moderate speed.