Because iTunes movie has DRM copyright protection, you have to remove it at first, then you can convert it and burn it to DVD, Here is a step by step guide will teach you how to burn iTunes movie to DVD, hope it helps http://www.freedvdripper.net/guides/burn-itune s-rentals-movie-to-dvd.html
If you have any other questions, feel free to email me.
Thanks - I have managed to convert the videos to dvd and can play them on the ps3 - can't believe Apple allow this conversion software to continue to be available! I then tried to transfer them to the PSP but it will not play mp4.v files - only mp4 files (why does it have to be so complicated!)