tim chances are that the files need converting to vob files for burning.
make a new file folder and download a convertor program like win avi
save teh new file into the new folder and open it with the prgram you are going to burn it with....nero etc.
some dvd's on torrent site are iso files so you might need isobuster or any other program that is able to change the formats. better off sticking to avi format for downloads less hassle in converting prior to burn.