It depends on what format the films come in, as In a pickle says, there are several various players, personally I like Nero Showtime, which seems to handle AVI, Mpeg and Mp4 formats.
To convert to DVD you need a further programme to do this, again, my personal choice is Winavi (Free download
http://www.freedownloadscenter.com/Multimedia_ and_Graphics/Video_and_Animation_Tools/WinAVI_ Video_Converter.html) this converts all the above formats to VOB files, which are what you need to then burn to a DVD - theres an option then to "burn your disc" which uses your automatic Burner of Choice (mine uses Nero Burning Rom).Its all down to your preference of programme but there are a few that will do this for you.