If it`s an AVI/DIVX file, you need a converter, a free one to download is sothink. You can download free from sothink site. it`s called Movie DVD Maker.
I haven`t used it myself as I`d already paid for a programme(didn`t realise there were free ones around)
You will find converting takes a long time and computer will be virtually unuseable during the process.
This is presuming you have a DVD burner and burning software, such as nero, which sothink will use to burn to the disc.