can you tell us what the file extension is?..it could be that you have a bunch of rar file's,if you do have then you need winrar to extract them and you will end up with an .avi file.
you the move on and convert this file to dvd then burn to disc.
if you read through the forums here(as i have been doing) you should find what programs are best for this conversion
nero does do it but you may not like nero so there are many to chhose form.
http://www.rarlab.com/you can get a free version of this.