By "downloaded to a DVD" do you mean you simply copied it to a blank disc? If so, then it is unlikely to play on a regular dvd player and you will need to use DVD burning software for that.
I use Windows DVD Maker as it comes bundled with Vista Home Premium.
If you don't have that you can find and use other software. Try Googling "DVD burning software". Others on this forum may also have suggestions.
Edit: Just noticed the file extension you referred to. This is a Microsoft Windows Movie Maker project file (hence MSWMM). To share the movie or watch it on another PC you will have to save it as a video file first using the save option on the menu bar. I don't have WMM on my work computer here, and I can't remember what the various options are but I think they are relatively self-explanatory. And the Help menu should fill you in.
Hope this helps.