How to save internet download onto DVD?

Could anyone provide any help as to how to save internet download to dvd burner. When I press “save as” and choose E: drive(which is my external dvd burner), a dialog box pops up with the following “E:\ is not accessible. Incorrect Function.” Does anyone know how I can save internet download images and zip files directly to my dvd burner? I have Windows XP and LG 5163 burner. Any help is much appreciated.

I believe if you were to use packet writing software such as InCD it’ll allow you to do this. However, if not, just save it somewhere on your HD, then use Nero to burn it.