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On a Mac with a superdrive, you can just put the blank dvd in and tell the machine to open disc in finder. Drag the avi into the finder window and click burn. It will play on any divx compatible dvd player.
 
This might stray away from your original intentions for burning the dvd, but i asked the same question when i was trying to watch my avi files on my tv. My dvd player supports divx playback and also has a usb port. Dragging and dropping the file onto a usb flash drive made things much easier and cheaper.
 
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