Dear patpower,
Many softwares can capture videos from camcorders onto the HD for burning to DVD (e.g. Nero, DVDSanta). Basically you just connect the camcorder to the PC (via USB or firewire), run the software, and follow the instructions.
You may want to try this out first and come back if you still have problems.
Good luck!
Well, on the PC, go to where you have stored the files, open the folder, and check the extension of the files (i.e. what comes after the 'period', e.g. .BUP? .IFO? .VOB? .mpg? .AVI?). We can help you better if we know what you have.