you need to convert them with a converter like xilisoft.

Hi conner8605,

What software are you using to convert (to DVD format) & burn files? If you're using Nero, there's a guide here.
Making a DVD Video using Nero 7 Premium

Use the forum search to look for convert DVD, burn DVD or something similar.
You could also try these sites, they have lots of info & guides.
AfterDawn.com: Guides and articles
VideoHelp.com

Also, check what types of DVD discs your player supports (the manual should tell you) & make sure that you're burning to the right type of disc