alfred1,
LW can't burn files. You'll need a burning program.
Usually if a file can't be played, it's because the your lacking the codecs needed to play the file properly. See :
Problem with downloading movies
What program are you using to burn them with?
DVDSANTA is a free program that's easy to use. See
Use DVDSanta
I like Nero 7. It's not free but it has a free trial. See:
Making a DVD Video using Nero 7 Premium
This thread might help:
Loading movies on a dvd using Nero StartSmart