When you say burn, do you mean burning onto a DVD which will play in any DVD player?
If yes, then generally the answer is 'no'. Online -purchased movies are usually iPod-compatible and are in .mov format or some other compressed form.
Yes, you can burn them onto disc, but it will be a computer-readable file only.
The only other other is to purchase a media converting program which will convert your movie into a format which can be burned onto a regular DVD for playback.
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"Outside of a dog, a book is Man's best friend. Inside of a dog, it's too dark to read." - Groucho Marx
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