Probably it is a MPEG2 transport stream.
If you don't want to lose quality and don't mind paying; then I suggest Video ReDo (the 'Plus' version or the 'TV Suite'). It will load the file and allow you to edit out adverts etc; then the TV Suite version will reauthor with a menu and burn to DVD. See here:
Otherwise the basic freeware route is: .TS file -> Project X -> IFOedit -> ImgBurn
For menus on the DVD: .TS file -> Project X -> Imago MPEG Muxer -> DVD Styler -> Imgburn
Edit: Cressida got here first...