If the avi video is split into three parts, you'll need to piece them back together before converting to dvd video.
You can do this with AviDemux (free). http://fixounet.free.fr/avidemux/
Start AviDemux, click Start, then Open. Navigate to the place on your hard drive where you have the first avi file, then import it into AviDemux. Now click on Start again, and hit Append. This will let you import the second avi file and join it to the first. Do this process again for the third piece. All of the avi files have to have the same specifications for this to work, (same codecs used, same frame rates, etc) but they should be.
Video and Audio should be left on Copy, and the format should be AVI. To start the joining process, click Start-->Save-->Save Video.
Now that you have the joined avi file, you can use a different tool for converting to dvd-video. Xilisoft was a waste of money by the way, as there are two free conversion programs that are superior. One is DVDFlick, the other is AVStoDVD.
Either of these will convert the joined avi for you. AVStoDVD may be a little more complicated for a newcomer, but uses a better encoder. Make sure to set output to match your country's specifications for dvd-video. In the US, we use NTSC. Most of the rest of the world uses PAL.
Both of these programs can be set up to burn automatically with ImgBurn, (an excellent free burning program) and ImgBurn is included with them.
If you are trying to play dvds on a Windows XP system, it doesn't include a dvd decoder. I suggest using VLC media player to playback dvds on the computer. www.videolan.org It is also free.