1. DVD's use the DVD format.
It depends on what your DVD-player is capable of. Mine can play divx, xvid, mp4, mpeg, avi's, mp3's, etc. No real need for conversion, just burn the files on a dvd and play it. Most players should be able to play at least mpg/mpeg.

2. If you want to create a real DVD from your files you need a DVD-authoring program. Here's a list of manuals and tools: http://www.videohelp.com/author
The site will answer all your questions, including conversion of wmv to something suitable.

3. You're welcome