You still haven't told me enough about what you're burning from for me to be really definite, since there are such a large range of options.
First thing for you to do, is
RTFM. It is available as a downloadable PDF file
here. You'll need this no matter what your source files are.
Now, some examples.
If you downloaded an .AVI file, go Home > Video > DivX DVDs
If you downloaded an .ISO, .CIF, .CUE, or C2D file, go Home > Data > Creator Classic > Burn From Disc Image File
If you downloaded an .ISO, .GI, .UDI, CUE, or C2D file Home > Copy > Burn Image
If you downloaded a disc image or DVD-Video folder
If you downloaded a DVD-Video folder [.VOB and .IFO] files use Creator Classic, drag your folder into the bottom pane, rename it to VIDEO_TS and burn it as a data disc
If you downloaded a video file, Home > Video > MyDVD or MyDVD Express > Add New Movie and make a DVD with yoiur own menu.
There are probably many more ways to do it - I got exhausted before I exhausted the options

That's why reading the manual is necessary. I hope this has helped ease you into the bewildering array of ways you can do it.
Regards,
Brendon