It depends what format the movie is on. If it's an AVI or MPG, depending on the DVD player, you could just store it as data and play it that way. If it's .iso, with multiple files, you'll have to find some DVD burning software. I'd check download.com
Also, if this is an illegally downloaded movie, ignore everything I said and I support it in no way. I am providing this information assuming that you are an ethical human being trying to burn a home movie or similar noncopyrighted data.