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Providing that movies that you download are not infringing any copyright, if you have a lot of these movies to convert a faster (and easier) solution could be to purchase a standalone player able to read also avi files. In these days there are many available in stores, and are not really costly.
I give you this suggestion because converting an avi into a video DVD can require a lot of time, based on the power of your computer. In my computer, for example, it is necessary about 8-10 hours to do such conversions (but actually my computer is not so powerful :()