ConvertXtoDVD converts and burns your internet movie files to a compatible DVD.

ConvertXtoDVD is a 1 click solution to convert your movie files to a compatible DVD playable on any home DVD player.

ConvertXtoDVD supports most popular format such Divx, Xvid, MOV, VOB,
Mpeg, Mpeg4, AVI, WMV, DV and stream formats.
It converts your single files into a compliant DVD Video set of files
and burns it on a DVD media.

The aspect ratio can be automatically selected or forced to a specific
format. The program works for NTSC and PAL video formats and creates
chapters automatically. Multiple audio tracks are supported. The
version 2 uses a completely rewritten interface with subtitles support
and a lot of new settings.

Key features:

* Supported video formats: DivX, Xvid, MPEG4, MOV, AVI, WMV, WMV HD,
  DV, and more...
* Supported sources: existing files from digital camcorders, TV/Sat,
  capture cards
* Can merge up to 4 hours of material from several movies or episodes
* Supported audio formats: AC3, DTS, PCM, OGG, MP3, and more...
* Handles subtitles files (.SRT .SUB/IDX) with color and font
  selection, and supports tags (italic, bold)
* Video format choice: NTSC, PAL, or automatic and PULL-DOWN
* Picture output: Widescreen, Fullscreen, or automatic
* Create Automatic chapters or edit your own
* Fast preview mode to check if the source is loaded correctly
* Save the DVD structure on hard drive or burn it to a blank DVD
* Reliable burn engine integrated (supports all DVD formats)
* Fast and quality encoder (typically less than 1 hour for converting
  1 movie)
* Variable options and settings for advanced users
* Control of the conversion speed vs quality
* DVD Menu control (auto-start, loop etc)
* DVD Menu edition (background, font, color)
* Customizable interface (themes, dockable windows)
* Multilingual support (26 languages...)
* Optimized for Windows 2000 / XP / Vista

I think you can also drag more than 1 file into the window to make a single DVD.