What format do I need?

[Spawn of Sephiroth]

You can put any files you want on a DVD. However, not all file formats will play on a DVD player. To ensure that a DVD player will be able to play it, you need a program that can convert whatever file type you've got into that MPEG2 thing that DVD players all support. Looks like your program can't convert from WMV to, so you need a different one, or a plugin for your existing program. Nero would count as a different program.

Well, my file converter is Cinema Forge. It doesn't do MPEG2, just regular MPEG. I'm trying to put about 3 short movies together in sequential order in Windows Movie Maker and put it so I can make a DVD.