you will need a program like the one Carbon Dudeoxide recommended, or you will need to purchase a DivX compatible DVD player. if you plan on burning alot of movies, i strongly suggest purchasing a DivX compatible DVD player. reason being, converted AVI files take up alot more room then straight AVI files. for example, a show i like to watch has all its episodes in AVI format. if i convert the AVI files i can only burn 10 episodes to a 4.7gb blank DVD, whereas if i dont convert the AVI files, i can fit up to 23 episodes onto one 4.7gb blank DVD.
an added note,
PowerIso is a good, free, utility for burning AVI files straight to DVD's.