Hello there w_b_mitch and welcome to this great site.
- What format are these files that you are trying to change, and what size are they?
- What software are you currently using to burn the files onto DVD?
Normally the DVD burning software (e.g Nero) will automatically compress the file to fit onto DVD, depending on its size of course.
Alternatively have you tried using Windows Movie Maker (comes with XP), you should be able to open the movie in it and resave it as a .avi/.wmv. This will normally make the files smaller which you can then burn onto DVD.