Exactly the same way as you would any other file - oh, other than bin/cue, iso, etc which are disk images in which case you open them in your burning software as an image...
What you 'might' be asking is how to burn them to watch them on a DVD player, & the straight answer is that, unless you have downloaded a DVD, SVCD or VCD (in which case you burn it as a DVD video, SVCD or VCD by choosing that option in the burning software), then without converting them into DVD (or SVCD/VCD) format you can't.
The majority of decent quality encodes are AVI files encoded using either the DivX or Xvid codecs (often referred to as MPEG4), rather than MPEG2 (DVD) or MPEG1 (SVCD/VCD) ones, & they're simply not compatible with normal DVD players - it's a bit like trying to play a DVD on a CD player; it won't work.
As converting them to a DVD compatible format would take hours, the most sensible options are to either watch them on a PC or to buy a MPEG4 player (which will also play DVD, SVCD... CD, etc) which can read them saved as onto a 'data' disk.
The advantage to the MPEG4 formats is that the file size can be dramatically reduced but with (in theory - well it's up to the person who encoded it) equal or better quality to creating a DVD from the same source.
Hence if you're trying to get something you've created 'out there' (they do have huge no's of legit users) or, i guess, pirate some TV show or film, it's far more economical in terms of bandwidth whilst (potentially) maintaining quality.
