It depends on the format of the movie you downloaded. If it's MPEG, you can use it to burn a VCD that is playable on your DVD player. You may need to use a specific brand of blank CD-R disks; My Sony DVD player can only play VCDs I burned using Circuit City brand CDs. It can't recgnize VCDs burned using other brands such as Sony or TDK disks. Popular CD-buring programs such as Nero and Adaptec both have VCD buring abaility.
If the movie is DivX format, then you can burn it directly to a CD and it's only playable on your computer. DVD players can't play DivX files.