The downloaded videos will be in .flv format. Yes you can just burn them to a data CD (supposing they fit). VLC can play .flv's directly, among other media players.
Some DVD players can play .avi's right from a data disc but not all. If you need to support playback on DVD players in general you need to author the videos to DVD VIDEO_TS format and burn the result to a DVD-R. The tool I use for the is ConvertXToDVD, but there are others. Google "convert avi to dvd" for further guidance. -- Scott Brown Consulting