Converting one file type to another (I think!)

Is it possible to copy a music video onto my hard drive and then burn in onto a dvd and if so:
1) is it difficult?
2) is it expensive?
3) is it legal?
4) how long would it take on a broadband connection?
PS> Excuse me if they sound like dumb questions, but the depth of my computer ignorance knows no bounds... LoL