You aren't clear as to whether you want to author a DVD or just burn files to it.
For example, if you downloaded movie files you may want to just save the files to DVD discs, in which case you can do it the same as you would any file you burn and some DVD players will even play the videos.
You may have even downloaded iso files of DVDs and can just burn them and you are set as well.
If, however, you want to author a DVD video from other file formats like AVI you need to convert whatever format you have and you can proably find software using searches like "**format** to DVD for mac".
E.g. "avi to dvd for mac"
I haven't used it, but this one looks to do what you need:
http://www.xilisoft.com/dvd-creator-mac.html