Slow down there...

YEs, movies are copyrighted.

You need a 'ripper' that can override the protection and 'rip' the video and sound. This will allow you to burn it to a DVD. There are all-in-one apps and othertimes, you have to buy a separate app to rip, then convert, then burn.

There are some hardware based DVD burners (don't require a computer) whose firmware can be altered to directly copy protected movies.