Well it depends. Do you mean just burning a DVD that's allready a DVD (in that case use Nero Recode)

If you mean converting an eg. avi file to DVD and then burning it, then use Nero, DVD Santa or other similar programs.

I use Nero (Nero Vision)

A Guide is here:

http://www.gnutellaforums.com/tips-tricks/64549-making-audio-cd-using-nero-7-nero-express.html