For this, you can make a simple data CD - nothing complicated is necessary.
To make a data CD:
Drag the files you want burned in the writer's drive folder (if your writer is D:, put them in D). Then, in the drive window, you should ssee grayed-out versions of the videos. Click "write these files to cd" and follow the wizard's instructions.
Oh make sure a blank cd is in there that can be written.