Assuming you've downloaded your file, what you've now got to do is convert it to a file your dvd player will understand. Depending on what type of file it is (mpeg, DivX, AVI) you'll have to get a converter - DVD Cloner or AVS Disk Creator are very good. Direct the converter towards your file and it'll convert it then burn your DVD. These are bought progs but I'm sure there's plenty of free versions around.
I have just figured this one out using AVS tools. DVD santa is also very good. I went through all of this hassle then tried to play it on my DVD player and realised that my player wont play DVD+R's which I was using. Make sure your using the right disk before you go through the hours of converting the file!