Matt - thats what I do..... As for file types - most DivX/Xvid films are AVI format, and many DVD players will play these nowadays. Mpeg's not so much, unless in VCD/SVCD or KVCD format, and very few play WMV's...
How do you go about burning and watching an MPEG film? Just burn it as a data CD or do you have to burn it as a video CD?