Is this an actual DVD player, or do you mean DVD player as in a software package that plays DVDs ?
The standard for DVD players is, IIRC, mpeg2 with certain specifications.
There are DVD players that have some codecs, and will play divx and other formats as well, but not all DVD players support that.
However, for software DVD players, you can play anything you want as long as you get the proper codecs.

You don't necessarily need an authoring tool.
If you already have the movies/files in wmv and whatever format, you need a converter to convert them to whatever format you want, and then a dvd burning program to actually put them on a dvd.
For burning, you can use Nero (most popular, I guess), but most programs that can burn data DVDs will also be able to burn movie DVDs.
For converting, one of the most powerful tools is probably Vdub (Virtual Dub) - it's free and open source.