Make sure that you burn your avi files to DVD with DVD format, not burn as data. DVD movie is encoded by MPEG2 standard. And your video will be converted into .IFO, .VOB,.BUP files.
If you have an access to Macintosh, follow this video to DVD burner guide.
Well he said his DVD player is DivX-certified, so it should also be able to play data DVD’s (so long as the AVI’s on it are DivX-encoded).
First check the AVI’s use the DivX codec. Check the fourcc with something like avicodec or mediainfo. Should be DX50, DIVX, DIV4, or DIV3. It may work with XVID too, but you’d have to check with your manual to see if Xvid is supported (many DivX-compatible support Xvid too, but not all).
Also check the obvious, like is the media you’re burning compatible? Did you burn to DVD+R when your player only supports DVD-R, or vice versa? (check your manual for supported media) Also check that you closed your session when burning the data DVD. If you leave the session open (which is default if you use the 'send to CD/DVD' option in Windows Explorer), many players can’t play that - to be safe use a specialized burner program like Nero rather than Windows Explorer).