Your home player may not recognize individual files. You have to create a VCD, SVCD, DVD, Mini-DVD (DVD written to a CD-R) or Divx - depending on your player facilities.
VCD will use Mpeg 1 files, Divx is a file format also and the others Mpeg2 files (besides the ones in a DVD will have extension VOB).
To produce these discs you need dedicated software.
You have to check what file format you have to start from as it's strange you did a download of documentaires in AVI file format.
pay a visit to www.videohelp.com, where you will find a lot of info about software and tutorials related to video.