Unless your DVD player can read Video CDs (or VCDs) then you're probably out of luck. Most newer generation players do, though. Just check your manual.
As for burning a movie onto a VCD. First off, you must have the film on your harddrive in an MPEG format. Then, you can use some CD burning software that automatically creates VCD files (I recommend Nero Burning Rom).
Also, a word of "warning"... the quality of these things ins't all that great. They are replete with digitized artifacts and you can only fit about 1 hour of video on a CDR. So, if you want a whole film you'll have to use 2 discs.
These days, you'd be much better off just shelling out about $300 for a dual-format DVD burner.