Is what you have downloaded an MPG file or and AVI (DivX) file. If its an MPG, then its probably in VCD format so just make a VCD using Nero ( Read one of the tutorials in Tutorial section to explain this abit further).
If it was an AVI, then it will need to be converted first. Again read the DivX/MPG/ASF to VCD Tutorial, it explains the process and where to get all the software.
Your DVD Player also needs to be VCD complian and able to read CDR's, not all can.
Auto-run feature is totally dependant on your DVD Player, almost all dont, a few do. Check in its Setup if that can be turned on or not.