Downloading Videos off Facebook and Converting to DVD for DVD Player

I downloaded some film clips off Facebook using Downvids.net. I then put the clips together using Windows Movie Maker, then converted it to a .wmv file in Windows Movie Maker, then converted it into a .mpg file using Any DVD Converter. I burned it onto a DVD using Windows Media Player. It ejected the disc when the burning session was over, and I put it back into the DVD drive on the computer and tried to use it to record more items, in a way of testing it to see if it was finalized. It said to insert a writable disc, which implied to me that it was finalized. I took the DVD to my DVD player, and when I put tried to play it on there, I got this blue box come onto the screen and say that the playback feature on the DVD was not working.

Is it possible to download a video off Facebook or elsewhere on the internet and convert into a DVD that can be played on any standard DVD player? Someone suggested to me that some downloading software for Facebook videos puts a block on them that stops a it from being viewable on a DVD player, but I don't know how true this can be, since I was able to convert it to an .mpg and burn it onto a disc.

Any advice would be greatly appreciated.