DivX / Xvid / Ogg is just a data file with an appropriate extension, normally .avi (even renaming .ogg to .avi works).
If your player handles such encodes, just burn the file to a data cd and stick it in the player - does'nt the manual cover such things?
The only problems may be with name length and directories, but placing the files in the root with normal length names should be fine.
mpg (vcd = mpg1, svcd=mpeg2) can be burnt as data if it fits on a 650/700MB cdr, but it is best to encode the mpg as a vcd/svcd for compatability. The only real problem is that most svcd's are upto 830MB's in size, thus have to be burnt as an svcd to fit on a 700MB cd (80min'r) - the crc bits are used for data storage that is why you can fit an 830MB file into 700MB's.