It's all going to depend on what format they come in. Depending on where and how you get them, they may be different types of files.
A .avi file can be converted and burned on to a DVD disk for use in a DVD player. What is need is DVD authoring tools. The authoring tools will convert the .avi file to a set of DVD files that can be burned to a disk, usually with the same DVD authoring tools.
TMPGEnc and their dvd author are pretty good ulead also make an all in one packaged software to transfer your avi to vob ifo and bup files so they will play on ya dvd player