How do i use Nero (burner)?

How Do I transfer my downloaded movies such as avi movies onto Nero so that i can burn them... Nero say the file has to be in .VOB format. But VOB files, are file that has been copied/extracted from a DVD. VOB stands for DVD Video Object and is the core file of a DVD containing the actual movie data. I would like to know is there away I can convert my avi movies I downloaded to .VOB format. I did not get the avi movies from a dvd disc but from a movies site. I can burn the avi's movies using nero but the will not play because there not in VOB format. ....