you should ask in more detail kid. regular mpeg2 dvd. and your games. if you got a modchip you can use PS2 reality player and play mpeg4 based video in .avi container.
hold your horses for a sec, you want to play downloaded videos, meaning .avi. its not as simple as burning the data on cd, you need to include the software to play it in it. go on to the ps2 section, its all there.