Dear xboxlive, I'm a PS2 fan myself *_*, but still here goes: Sometimes some burn programs (e.g. Nero, DVDSanta) can burn vcd directly to dvd. In case they can't, you may first convert the .dat files of the VCD into mpeg format with programs like VCDGear, then burn away.
I use Isobuster to extract the .dat files from vcds and then winavi to convert the .mpg file into dvd files. WinAvi is very easy to use (its not free its shareware: http://www.winavi.com/video-converter.htm)