How to burn .avi files to dual/double layer dvd?

I am wanting to burn 22 episodes of a tv program approx. 350mbs each that I have on my computer in .avi format to a dual/double layer dvd. I have a double layer dvd which holds 8.5gb, 240 mins, 8x. I have Nero 8 and am running on Windows 7. I saw in Nero that it can burn DVD9's but it doesn't accept .avi's so I thought I may have to convert them to .vob or something like that. Could someone please answer with detailed instructions and free software/programs that will help me convert the videos and burn them etc.

Thank you very much.
 
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