Go
here for all the junk you'll need to make VCDs.
Like TF said, if you burn using a burning program (Nero being my preference) you'll need have it in MPEG-2 format, if it's in another format you'll need a video editor to convert it. Be warned though, going from DIVX to MPEG means tons more space. A full length movie will take about 2-3 GB (and that's on the low quality end of the spectrum).
If you can, get your movies already in VCD or SVCD format. There you'll be downloading .BIN and .CUE or .ISO in which case you'll need a program like Nero or CloneCD or ISObuster to extract the image onto a CD.
Might I recommend getting a broadband account to assist you? I mean, unless you like spending four days downloading with 56K.