How big is the file and what is the format? If you're talking about a home movie I advise you to read the instructions that came with your camers. If this is a commercial movie you will need a burner for DVDs not CD as the files are too big. http://www.imgburn.com/
This is the best burning software I know of and it's free. It will work with any DVD burner. The tutorials are also great as well as entertaining.