Windows media player audio/video files/Nero suite 3

Hi all!
I am new and my question is how to burn a dvd from a windows media player audio/video file. When I request files for a project these files do not come up. I notice the ones that are jpeg files or avi files do come up. I downloaded all these audio/video files from Kazaa. The 2 that came across as real player are fine.
Do I need to convert them? IF so, how do I do that in Nero? The version I am using is Suite 3. Thanks for any help you can give me. :bow: carolyn