Doesn't Windows have some rudimentary disc burning built in? You could try dragging the file to the drive letter of your DVD burner in explorer. I suppose it's possible that Windows might see that it's a video file and try to burn a Video DVD instead, but it's worth a shot.
Windows XP's internal disc burning routines will only work on CDs, not DVDs. It may be that Vista's internal routines can do DVDs also, but I can't say for sure.
For free DVD burning software I'd suggest ImgBurn.