There are many programs that will perform the conversion for you. Some are easier than others to use. Trial is error is the game here until you find something that works. I recommend TMPGEnc but you may find a better solution. The best thing is to use Suprnova.org to download the software you need and try to find the tutorial that works for you.
Converting AVI and MPG to VCD is the easiest way to play a movie on your DVD player. The problem is that even though all DVD players claim to play VCD they do not.
If your going to download a lot of movies then you might want to consider buying a newer DVD player that plays Divx/Xvid aka AVIs. The advantage to this is that you no longer need to convert the video to DVD or VCD. You create a ISO disc with all of your movies and have player handle the rest. I download a lot of movies and this is how I archive and watch everything I have.