Why won't my movie burn?

Tried burning a movie I downloaded to a DVD using a program called "ConvertX to DVD" but it wouldn't playback on my DVD player. I inserted back into my computer and it made the DVD disc with the movie on it, but it was in .vob format (whatever the fu*k that is). It's only playable on my computer using windows media player, but I want it to be for my DVD player. I looked in the program settings and I can't find a damn thing that allows me to change the output format. Does this program only burn .vob DVD's? (DVD's only for playback on a computer)