I fully empathise- it is not so long ago that I didn't know very much at all about this sort of stuff, and it's most vexing to be 'stuck' when you want to enjoy the fun to be had on Queenzone and other websites.
As you have probably noticed, each user has their own preferred software and method of accomplishing stuff like this. After checking out people's recommendations you need to decide what is most user-friendly and works for you best.
Personally, for converting video files to disc I use the marvellous 'convertXtoDVD' from VSO software. This will take pretty much any kind of video file you have and convert/burn all in one go for your viewing pleasure. Simple to use, and free of confusing jargon in the user interface.
In instances where you have downloaded a video files that is already 'DVD authored' (i.e has a DVD menu etc) it will do the job beautifully if you select the 'burn an already converted project' option (a 'DVD authored' video download will typically comprise VOB, BUP, IFO files etc).
Or if you have downloaded a bunch of individual video files- say, for example six episodes of a TV show in 'avi' format, it will convert and burn in one go. Here is the link for the product: http://www.vso-software.fr/products/convert_x_to_dvd
Some of the video files you can download on Queenzone are of the 'disc image' (ISO) file format (Pittrek's wonderful Earls Court '77 remaster being just one). What you need for burning these to disc is ISO burner software, and there are plenty of freebies around. The one I used recently which worked beautifully is 'Active @ ISO Burner 2.0', which can be obtained here, through the download.com free software website: http://download.cnet.com/Active-ISO-Burner/3000-2646_4-10602452.html?tag=mncol
The other bit of pertinent info is that the size of the video file dictates the type of DVD disc you can burn it to: if the video file is less than 4.7 GB, you can burn it to a standard DVD-R disc. If it's greater than 4.7 GB, you will need what is referred to as a 'dual layer' disc, which can accommodate up to 8.5 GB of data.
Hope some or all of this helps... once you have it 'sussed', you will be on your way in no time. Happy downloading and burning!