The best thing to do is to paste the error message here. It’s hard to do any kind of diagnosis without knowing what you even did!
What exactly are you trying to do? Are you putting it on a DVD to archive (store) it? Is all you’re going to do is play it on your computer? If so then yes. You can burn a data DVD. Just put the AVI file on it.
If you plan to play the DVD in a standalone DVD player (the kind you put under your TV in the living room), then you may or may not need to convert, depending on what brand and model standalone DVD player you have. Is the standalone DVD player DivX-certified? Is your avi movie in DivX or Xvid? If yes to these two, you can make a data CD-R or data DVD and it will play. If not then you have to author an movie DVD (in MPEG-2 format - the kind sold in stores - the kind that has folders like VIDEO_TS and files like .VOB .IFO .BUP when you look at the movie DVD in Windows Explorer). There are many programs to author DVD’s.
Do you have a DVD+R or DVD-R burner? Brand/model of your burner? What type and brand media are you using?
I know this is a lot of questions, but you can take it one step at the time.