Is there something special I need to do to be able to save files and videos to a dvd? I have never really down this and am not sure what I need to be doing or if I am even able to do it. I hear other people talking about it, and I am trying to get up to speed.

nope all you need is a burner capable of buring either DVD+R discs or DVD-R discs. They can be made the same as cd-r(s) and with most programs can be created as drag and drop also

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</Dream In Code>
-William. § (marvin_gohan)

Even if you don't have a special CD/DVD burning program, such as Nero (you should though and probably have one which came with your drive), you can still burn DVDs using Windows XP, because it has a built in support for most DVD burner drives.

Nope, you would need a DVD burning application actually. Windows XP doesn't have built in support for burning DVD's yet (only CD's and CD-RW's), however I'm quite sure that they are going to have it for Vista though. There are lot of programs out there so feel free to try and see which one works best (but try to burn it at lowest speeds though).
And to find out if your drive can burn DVD's just look for the 'RW' logo, which is usually there on all DVD burners...

you can save the files using burning softwares like nero, if it is your first time try to burn a rewritable DVD , if something goes wrong at least you can use it second time