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WMV files are Windows Media Video files. DVDs however, consist of MPEG-2 video, and either Dolby Digital, DTS, PCM or MP2 audio. Therefore, you have to encode WMV files to the DVD format. You can do this in several methods. You could do it all manually by using an encoder such as TMPGEnc to encode to MPEG-2 video and MP2 audio, then use DVD Authoring software such as TMPGEnc DVD Author or DVD-Lab to build a DVD before you burn it.
These days however, there are much better and quicker solutions to encoding WMV files and other files to DVD. Here are some guides hosted at AfterDawn you could check out for the purpose.
How to Convert multiple files types to DVD with DVDSanta
http://www.afterdawn.com/guides/archive/convert_multiple_formats_to_dvd_dvdsanta.cfm
How to convert multiple formats to DVD with WinAVI
http://www.afterdawn.com/guides/archive/multiple_formats_to_dvd_winavi.cfm
VSO ConvertXtoDVD Guide
http://www.afterdawn.com/guides/archive/vso_convertxtodvd_guide.cfm
These three software titles will burn your resulting DVD files to a blank disc for you if you wish. If you are looking for another solution, try burning with Nero Burning Rom.
[b] Burning pre-authored DVD-Video using Nero
http://www.afterdawn.com/guides/archive/burning_dvd_with_nero.cfm