Which part is causing you trouble?
First of all, you need a DVD-RW or a DVD+RW drive, then you need a media of the same type.
For the burning itself, Nero Burnung Rom is usually considered the best. You can get a trial version for free on the Ahead official site.
Then comes watching it on a DVD player. Whether your player will play it depends on what's the filetype of your clip. Most DVD players have divx codecs, although mine doesn't play mpegs. It would be a good idea to check your player's Manual/User's Guide or something like that. It should say what kind of files it plays.