Many DVD authoring tools will convert the video you give them to MPEG2 for writing to DVD. But different apps give you vastly different levels of control about how the video is encoded. If you don’t care too much, just load the file into your DVD authoring application, and the result will probably be good enough.
On the Mac, iDVD will handle this, and so will SmallDVD. But SmallDVD was never intended to handle the video conversion so will only do a fairly average job. If quality is important, I strongly recommend re-encoding to MPEG2 prior to creating the DVD.
There aren’t any free GUI tools for the Mac for converting to MPEG2 that I really like. ffmpegX is a well known one, but I’ve never really liked it. So I just use ffmpeg directly from the command line. VLC can also transcode to MPEG2.
I haven’t done conversion to MPEG2 on Windows for a long long time, but when I did, I used TMPGenc.