I believe it can be done this way. Play the video in Windows Media Player (WMP). While it's playing, click on File and then on "Save Now Playing List As ...". When it's finished playing or maybe while it's still playing, click on Burn and select it from the Playlist. Now, start the burn.
I haven't actually done this, but my WMP appears to be ready to allow me to burn to CD (I don't have a DVD burner) that video after saving to the playlist. I'm using WMP 10.