is your player new? can it read .AVI, DIVX, .MPG, ect?
look at the specifications of the player.
it will tell you if it can read -r and +r and AVI,DIVX, MPG formats.
if it can read AVI then just burn the movie to the disc in the AVI format. it will be smaller so u can add multi movies.
if it cant read AVI then you need to use a program that "makes" a dvd format for you. and this will take the AVI and turn it into a ISO for the player to read. u can have menus and other features too