New to all this

I have just started out learning how to burn dvds as I am an expat and love to see british programmes. I bought a new dvd player that plays all files and have subscribed to Convertxtodvd. However someone told me it is possible to burn mpeg files to cd instead of converting them all to dvd and watch them. As I am new to all this can someone tell me how to do it please? I am using windows xp. Thanks from Anitamay