sorry, mate, we don't condone piracy here, so I can't tell you how to burn downloaded movies.
iDVD just allows you to create menus for movies. It is tightly linked to other iLife applications (iMovie, Garageband, iTunes, and iPhoto). Once you have completed your project, you can burn it to a DVD to be played in just about any consumer DVD player. For more info, have a look here
While I agree with you that much of what people download may be copyrighted material and that burning the stuff to DVD could be illegal, I'd like to point out that there is a great deal of legally available video material out there, including creative commons licensed material, material whose copyright has lapsed and has been returned to the public domain, services that allow DVD burns of their downloads, and more.
I don't mind discouraging illegal usage, but lets not paint everything with the same brush.
As for the original query sorry, I don't have a good answer and can't be of much help.
I can appreciate we shouldn't be advocating violating the law around here, but as I pointed out before there are perfectly legal scenarios for this situation and I've personally encountered it a number of times. Daryliow says that his situation is legal and aboveboard.
Are you 1) saying you think he's lying and therefore won't help him; 2) asserting that there is no situation in which this information could legally apply or 3) saying that since this information could be used for illegal activity that it should not be disseminated to anyone including those who would be acting in accordance with the law?
Daryliow, I cannot personally attest to this because I've never tried it, but you might try look at the open-source program Burn. It may meet your needs. Here's a link.