Hi BMM389EC,
As far as i'm aware, depending on your DVD Player, you can view MPEG's right off a DVD, much the same way as you can with a PC. Some DVD Players have a browser that will allow you to play MPEG/AVI files straight off the DVD, but it is player specific.
There are processess of converting MPEG's with Nero VisionExpress and then using DVD Shrink to re-author the files into the Vob format, however this is pretty time-consuming.
Alternatively, it might be worth downloading this and have a dabble:
http://www.vso-software.fr/divxtodvd/divxtodvd2.htm
Hope that's of some use,
Cheers,
Geoff