That depends on what dvd player you have. Look into the player manual, it'll tell you what formats are supported.
E.g. I have a relatively new dvd player and it has a usb port from where i can play avi and divx on a usb stick. I can also burn avi/ divx as a DATA dvd and play it on this player. But thats specifically because mine supports these formats.
If yours doesnt, you'll need to convert the avi to vcd/ svcd/ dvd, burn to disk, then play the disk in your dvd player. If your primary interest is watching the avi on an external monitor or your television set, you can hook up the computer to the external monitor or TV set with an SVCD cable (or whatever you prefer), then simply play the avi on your computer.