I recently purchased a video from Amazon Video on demand, and I want to burn it into a DVD disk so that I can watch it on my TV. But when I tried loading it into Nero for creating a video DVD, I only got a message telling me that the file has something called DRM protection, I cannot go ahead to burn Movie to DVD, why?

Most Videos movies downloaded from Amazon Video on Demand, Zune Marketplace, Movielink, etc online stores are in DRM Protected WMV format that will control consumer access to those digital content even if you have bought them(e.g. you cannot make copies of media for personal use, or to transfer video from one format to another format, etc), so if you want to burn those your own purchased WMV video to DVD for playback on TV, watching them on home DVD players, or just for backup, you need to convert DRM Protected WMV to DVD format, then burn DRM WMV Movie to DVD, now let's go to the solution:
In fact we need a tool that can integrate the full function of DRM Remover (to remove WMV DRM and Convert DRM WMV to DVD format (.VOB)) and DVD Creator (to burn WMV to DVD), here I recommend Video Converter Ultimate – a powerful multimedia software that integrate up to 6+ independent function units, like DRM Removal; DVD Ripper; DVD burner; Media Converter; Media transfer and YouTube Downloader, which just meet our needs.
Step by step tutorial to remove DRM and burn WMV video to DVD.
Free Download Video Converter Ultimate, run and install it

Click 'Add Files' button from upper left corner of the software, select the WMV file from your hard drive downloaded from Zune Marketplace, Amazon Video on demand, etc to add to the software.
Choose output format as 'DVD Video format(.VOB)', then click 'Convert' to Convert DRM WMV to DVD.
After finished, they are in DRM free files. Click 'Burn' button on lower right corner to launch burning conversation, Click 'Next'.
Select the Menu template and Burning Speed
You have the option to choose DVD Menu and to select the quality of the WMV file that would be burned. There are several menus and there are 3 video quality types.

Burn files
Review all the options that you have chosen and when you are sure about them, it's time to click the button labeled Start. This will commence the process of burning WMV to DVD. It will just take a few minutes for the burning process to be completed and the software will give a notification once the burning process is done.