Video has to be MPEG format for DVD. I think that Nero has a wizard function that will take a file and convert it for you. I presume this is a standard 640 x 360 XviD TV show you've downloaded? Ones like that should convert easily enough.

Alternately you can buy DVD players which will play MPEG-4 (XviD/DivX) so then you could literally just burn the AVI file to a disc and it would play. Not sure how cheap or widely available they are there, but I've seen them here for £20 so they can't be that much.