there are two steps involved in the process to accomplish your goal.

1. Create a DVD file structure after converting your files to DVD compliant vob files (mpeg2).
2. Burn the DVD to disc.

I would suggest that you get DVDflick from here. It will do the both the above steps for you and it is almost automated, so you need not to worry much.
There is another paid solution which is highly acclaimed for its output quality named ConvertXtoDVD. But in my humble opinion go for DVDFlick as it also gives same output quality as CX2D. here is a guide in case you are interested:

I hope this will help you out

If you want:
Make flawless copies of your DVDs/CDs
Create copies of your favorite movies
Create portable archives of your songs
Easy step by step guides
Backup and store your valuable data
Free Movie Downloads
Play on you computer DVD Player and More!
Go to:
Download one and enjoy it, please.

U need no other programs nearly,.

All u need is a Blank DVD-R first,.then,.make sure u insert in in u r dvd-rw drive,.now just open the blank dvd-r from my computer – dvd drive icon. go to the files u want to burn in another window just drag and drop them into the drive and after that just give write files to dvd or cd command from menu.

u can also send those files through context menu in u r right click,.select those files right click,.then click on send to – cd drive.

u need nero only to burn iso and other kind of program format,.mp3 wav.normal data,.files from net doesn’t need a special program to burn on Windows Xp and Vista,.

Total Video2Dvd can help u convert downloaded movies to dvd,
1. Support High-Definition video formats such as HD-DV, MKV, Blu-ray TS, TP, M2TS, AVCHD, WMV-HD etc to DVD.
2. Support most popular formats such as Youtube Flv, RM, RMVB, 3gp, h264, Xvid, MOV, VOB, Mpeg, Mpeg4, WMV, ASF, DV, Nsv, Ogm, AVI to DVD.
3. Convert video files into a compliant DVD and burns to DVD disc, also can create ISO image files.
4. Support lots of subtitle file formats, including .srt . sub .ssa .ass .smi .psb .tex .idx etc. Handles subtitles files (.srt) color and font. Supports tags.

Aimersoft DVD Creator is a good choice. It converts popular video formats such as AVI, MPEG, WMV, DivX, DV, VOB to DVD and burn DVD movie played on portable or home DVD player. Any video to to VCD/DVD/SVCD is even faster than real-time.
Free download here:
Step by step guide:
Unbiased reviews and side-by-side comparisons of the DVD creator give you enough information to research the ins and outs of a particular product:
Also, you can search some other software:

you don’t need to.

go to “My Computer”, to “hard drive” or where ever the DVD “file” is and then copy and paste the downloaded file to the DVD, in the DVD’s folder.

get a burning software.
then follow instructions.

oh by the way.
THIS IS SPARTAAA!

download/buy a software. i recommend Nero. click which kind of cd you wanna make and there should be a blank list or whatever then drag the file on to the list.