I hope you don't mind doing a bit of reading. To burn from the following types click onto the links to find related threads: 1. DivX 2. AVI 3. WMV 4. (a) mov (b) .mov As far as mpeg's go, it will depend upon your burner softw, else you may need to convert it again by separating the audio & video tracks if your burner doesn't support it. But be careful! Movie conversion is a complex topic & sound & video can go out of synch with poor conversions or utilties used.
I frequently burn dvd's but I start off with high/full quality video. I don't have much experience trying to burn from dwnlded video formats that have been re-encoded into smaller easily transportable formats. Perhaps somebody else on the forum can give you some hints here.

May I recommend you get yourself a decent burner application such as Roxio or Nero which can convert avi & mpeg to dvd.