yarr matey, so yous gone the way of Blackbeard and...ahhh screw it, my pirate impression sucks.
Assuming your format is in a video (avi, mpeg, mpg, wmv, etc.) you can simply save it on your cd as data. There are only 3 times I can think of where you would burn it different:
1) Audio files (If you want to convert mp3s into audio files to play on a boombox, car audio, etc.)
2) DVD movies (You can put divx/xvid/etc movies on a blank DVD, but an actual DVD file is encoded and has to be burned seperately)
and
3) ISO files, usually this is with operating systems (Linux)
Anything else, just burn it as normal data.