Its hard to say exactly not knowing the details of what you are doing but a good place for information is
VideoHelp.com - Forum, Guides, Tools and hardware lists .
I am guessing your taking an avi, mov or some other file type that you downloaded want to burn it so you can watch it on a dvd player. If that is the case I have used this in the past
DVD Flick. It will do everything for you and is pretty simple if you just want to create a playable dvd multiple downloaded files. I haven't attempted to ad menus so I don't know how hard that would be.