|Basically a DVD burner application and a DVD burner device.|
If you drag, let's say a .AVI file into the burner program it will convert it and burn it to the DVD. Similarly it will do the same for many other file format that are videos.
Otherwise you will need a file format converter application to convert the movie to a file type the burner application can convert to the 'dvd' (VOB) format. For example I believe dvd burner applications cannot convert .swf (shockwave flash) videos like from You Tube.