One way to download movies is through torrents. First download a program that uses torrents, such as uTorrent. Then search for a movie you can legally download on a website such as Isohunt. Type in the name of the movie you want to download, and choose from the entries that come up.
Once you have your movie, transfer it to a blank DVD, a process called "burning." You'll need a burner program like Nero. You have to choose at this point whether you want to make a data disc or a disc that is playable on DVD players. A DVD can also just hold your file in that form so you can play from it on another computer.
Nero should be able to burn your movie in DVD format so it an be used in DVD players. You can also use a program to convert your movie from the format it's in, like AVI or MPEG, into a format that is compatible with most DVD players, such as VOB. If you do it this way, you can just burn the movie as a data disc, which is simpler and faster.