depends on what format you are dealing with. Often I'm trying to burn an AVI or MPG video file to DVD format (since almost everyone can play the DVD on their stand-alone player or in the computer). That's when you'll need a converter (I use WinAVI) to render the VOB, IFO and BAK files necessary for DVD burning. Once the files are rendered (usually in a VIDEO TS folder) you can burn the DVD in Nero Express (the simplest app). However there are lots of apps that do the above and more. You may want to edit the files before burning; also you can make customized menus for the DVD. This is authoring. General procedure: (capture), edit, convert, author, burn. One all-in-one-app that came with some capturing hardware I bought is Intervideo WinDVD Creator 2. (I really can't recommend it though; I only use it to capture-it converts very slowly.)
Good luck finding the best app for your purposes. One very simple converter/burner is called DVD Santa. It was the first app I ever succeeded burning with but I outgrew it's capabilities pretty quickly.
One more link (and another excellent forum):
http://www.videohelp.com/forum/userguides/94288.php