Welcome to the forums Hayho27. I'm hoping your downloaded films are of the legal variety. You should be aware that we cannot help with copyright protected materials that are illegally distributed or downloaded.
Depending on the format of the video you have downloaded, you should be able to import it into Nero Vision and have it produce a finished dvd, ready to burn to disk. You should always test the result and see if it will play off the hard drive before trying to burn. If you don't have software for playing dvds on your computer, I'd suggest getting VLC. www.videolan.org
Some dvd players are picky about burned disks. You should try some high quality dvds, like Verbatim if you can find them, and don't burn at the maximum speed. 8x or 12x burning speed may help a bit. If you can't find Verbatim locally, try some Sony brand disks as a reasonable substitute.
If you want alternative software for conversions, look at DVDFlick, AVStoDVD and FAVC.