Use something that knows how to build DVDs.
Also, learn something about video.
"AVI" is a container. So are WMV and MKV. Containers are file formats that contain (get it?) any number of different streams, which can be encoded by just about any codec.
DVD uses the "vob" container. HD-DVD uses the "evob" container.
".mpg" files are either transport streams or program streams. Transport streams are like containers, except less container-ey. A transport stream typically includes one or more program streams. Audio and video each in their own program streams. I'm using the word "stream" a lot here because these are formats designed for streaming.
"mpeg 4" is a generic term used to refer to about a dozen different codecs, including xvid, h.264, and mpeg4-avc, just to name the most popular.
bluray, fwiw, uses a transport stream called "m2ts". the "ts" means "transport stream". That m2ts file can contain program streams encoded as h.264, vc-1, mpeg2, or mpeg4-avc. Confused yet?
So, you've got an avi (stands for "audio/video interleave" fwiw) and you want to play it on, what, a normal DVD player?
Normal DVD is mpeg2 video and mpeg2 audio (mp3 is mpeg1 audio, fwiw) in a VOB container.
If you have one of those "it plays anything" dvd players, see if it will play your AVI - but remember, "avi" is just a container file, and there could be anything at all inside it - the player for an avi has to both understand the avi container and understand the codecs used within your particular avi.
If this avi came from a digital camera, chances are the video codec is mjpeg and the audio is raw wav.