How to burn from harddrive

i use bearshare as my source for downloads and i am trying to figure out how i can burn some clips from bearshare on to a dvd? I am using dvd shrink and nero 6. How do i do this?

what file extension are they ?

Personally I would skip dvd shrink and just use NeroVision Express 2 to encode and then burn the clips. I am brand new to the dvd thing but it was rather simple to do.
The update for Nero can be gotten on their site