No, you don't need to convert anything. With Nero, select "Video-DVD" as type of project, then drag all files from the downloaded VIDEO_TS folder into the VIDEO_TS folder of your disk. Burn and watch.

On your PC you can play the DVD video files with either a DVD software player or Windows Media Player (in most cases). VLC is a superb prog, I'd suggest getting it. It plays DVDs as well as nearly every other video format around. And it's totally free.