Usually when you download video files from the net they are in a compressed format (DIVX, XVID etc) and as they aren't in DVD format Nero won't let you burn them onto a video DVD.
To get them onto a Video DVD you can use a piece of burning software which will re-encode the file into DVD format (PowerProducer is very good for this) OR you can re-encode the file yourself and then burn the DVD files it creates using Nero.
AVI2DVD is freeware and will happily convert most video formats into DVD format (
http://www.trustfm.net/divx/Software/Avi2Dvd.h tml).
The conversion will take a couple of hours, but thats gonna be the same whichever way you do it.
Hope this helps and if you need any more help let me know.
Jen