Do you have Nero?
Nero will do it. Just go to Make Your Own DVD-Video in Nero 6 Suite (its part of Nero Showtime 2), and add the .avi file to the video. It will transcode it for you.
If you don't have Nero or a similar program, then try this:
http://club.cdfreaks.com/showthread.php?t=61142
Basically, you need to transcode the DIVX into MPEG 2 and then use a burning program to package it into files that a DVD player will be able to read (a DVD is not just MPEG 2 files, they have to be at a certain resolution, in a certain file structure etc).
Hope this helps