The DVD workflow should work like this:
1. Download Videos (depending on size this could take a while
2. Import and Edit Video in iMovie. Go to File > Import and Select "Movies" The downloaded movie should be in the downloads folder. Repeat this step for each movie segment you want to add to the iMovie project.
3. Share (export) iMovie Project to iDVD. Go to the Share menu and select iDVD.
Burn DVD in iDVD