DVD videos are in VOB files(thats an Mpeg file in its own sense)
The problem is most "Downloaded" files are AVI/MKV ect. those will only play on some players(DivX certified players will play most AVI files).
If you want it to be a DVD, you either have to covert it to MPEG then use software to split it into VOB files or just use a software that takes ANYTHING and converts it and burns it to DVD.