You do not say the file type of the movie, but most downloaded movies are either Mpeg or avi, so I will work on that basis.
To convert a movie from your computer to be a playable on a DVD player and watch it on your TV is very time consuming. Expect 2/3 hours for the conversion, then add the burning time.
You also have the added problem of the movie (after conversion) being to big to fit on a standard DVD.
However having said all that ... go here:
http://www.dvdflick.net/download.php
and download and install "DVDFlick" (FREE)
After installing it run it ... Make sure the settings are either "Pal" (Most of Europe) or NTSC for the American countries. Some DVD player will accept both formats, some will not .. so make sure the settings are correct.
Now add your movie file (DVDFlick is set for using the normal DVD-R size of 4.7 gig and will automatically compress the file if it is larger than this)
You can set DVDFlick to either burn the converted movie files to a recordable DVD or create the folders to you harddrive (Choice is yours)
Now just let DVDFlick do its thing.
Be warned DVDFlick like most converting software will use every bit of CPU time that is available .. so you are limited in using the computer until it is completed.
I either set DVDFlick to convert movies before i go to bed .. so it is all done when I get up. Or set it going first thing in the morning, when my conputer use is very low.
Although I have only mentioned 2 file formats DVDFlick will convert many more.
So good luck and let us know if it is successful.