If you're using DVD's from Blockbuster, use:

AnyDVD to decode
DVD shrink to compress
Nero to burn

If burning Downloads (avi files) convert with either:

Nero or
Imgburn like they said.

Also look in to AVI2DVD I used it too a couple of times.

Best thing to do though, (if you're burning avi files) is invest into a DVD player that plays Divx files, then you will be able to put 5-6 movies on each disc, or even burn to a CD.

I picked up one made by Phillips with a usb port, now I just plug in a flash drive or external, and watch. No need to invest in disc anymore.

Hope that helps.