That depends on several factors. Does your dvd player support playback of avi files? Many newer players can do so, but most older ones cannot.
Second, what type of avi file do you have? If it is encoded with xvid or divx codecs, it will be much more likely to be compatible with dvd players that have avi playback. Assuming you’ve got such an avi file and your player is compatible, all you have to do is burn the avi file as data to a disk.
If you want to convert the avi file to dvd-video, this is also a possibility. I suggest using either DVDFlick or AVStoDVD. Both are free to use.
I prefer AVStoDVD since it can use a better encoder, but DVDFlick is probably a little easier to use for newcomers. Both can use a free burning program called ImgBurn (included) to automatically burn the dvd-video to your disk.
The only tricky part in setting up DVDFlick or AVStoDVD is to make sure you are making a dvd for your country’s standards. The US uses NTSC standards, most of the rest of the world is PAL. You’ll find the settings for this within the programs.