Not enough room on disc

I’m a complete novice at this so excuse what may seem an obvious.

I have several avi and mpeg files (movies) that I would like to burn to disc in order to play them in my DVD player preferably as DVD but VCD would be ok. problem is the files are just too large, 720MB on average, and my discs do not have the storage capacity. is there any software that will compress the movie without too much loss in quality?

I have Ulead DVD movie factory SE (that came with my burner) and Ulead Media Studio Pro (though cant really fathom it out) I also downloaded DVDSanta as an alternative to converting avi to DVD

All help greatly appreciated