It depends on what kind of AVI file, the format that is, and what you want to play it back on.
Standard DVD players will usually only play DVD, SCD and VCD formats.
Specialist mpeg4 DVD players will play Divx and Xvid formats as well.
For Divx and Xvid, if your player supports them, you just burn as a data cd or a data dvd.
If its a SVCD or a VCD then open Nero and select the Video/Pictures option from the CD part to burn those but if its a DVD youre burning then you can only burn the DVD files which are VOB, BUP and INF.
To burn the DVD you just drag the VIDEO_TS folder into the next window that appears in Nero after selecting DVD Video. You dont need the AUDIO_TS folder, thats empty anyway, unless you have extra languages in it.
For SVCD and VCD then you drag the whole 4 folders, EXT, MPEGAV, SEGMENT and VCD, into the window.
I have heard of people putting multiple SVCDs and VCDs on a single DVD but I think that would depend on the capabilities of youd DVD player. I think that you would have to select the burn as data option and put a folder containing the 4 folders for each film on to the dvd or maybe rename the 4 folders as xxx film 1, xxx film 2, xxx film 3 etc. You would have to experiment with those or buy a mpeg 4 capable DVD player