2sheds forgot to mention the other major site that is useful for burning dvd's
http://www.videohelp.com/ (note you will almost always see these 2 sites mentioned with dvd burning).
You can always burn the trail version of nero to burn a dvd
http://www.nero.com/us/neroue-prog.php (link to the nero demo)
Note: from your description, it sounds like you might just have a dvd/cd-rw drive and NOT a dvd burner. If you know what model the drive that you burn stuff with is, post it here (can usually be found as the device name that is used when you pick the drive for urning).