Most videos available on the net are not in dvd-video format. The most common are avi files encoded with divx or xvid codecs, but it is possible to find .mkv, .mov, .wmv, .mp4 and other formats.
You'll need to convert those types of files to dvd video using free tools like AVStoDVD or DVDFlick. A popular commercial program for this is ConvertXtoDVD. All will produce a finished dvd, ready to burn and all can be set up to burn automatically if you wish.
It is possible to burn to DVDRW disks if you wish to reuse the disks, but I prefer single use disks. I'd recommend Verbatim brand +RW disks if you absolutely need to have rewriteable dvds.