does anyone know how to convert avi to dvd?

U need a program called DivXtoDVD
http://www.vso-software.fr/download.htm

I downloaded that program you recommended, however when I tried converting one of my avi files it said this 'Impossible conversion: this file contains an A/V stream we are unable to decode.' what does this mean?

Also does anyone know how to convery WMA to MP3?

convert wma to mp3
Here's one with a free trial.
Audio Converter

I dont know what this means.

As for WMA to MP3, i think you may be able to do this in Windows Media Player, just open up the WMA, then go to File->Save As
In the drop down box, select mp3, let me know if this works (or if its possible!).

What if I use a program like napster to download music files which are in WMA format and also they are protected, so will I be able to convert them into mp3?

It should, I dunno. Get Audio Converter that tg1911 suggested, and find out