To the best of my knowledge WinDVD is for playing DVDs, not recording to them. If your operating system is Windows XP then you already have rudimentary built-in support for burning CDs and DVDs. Look in Start, Help and Support, and search for DVD to find out how to do it. If a DVD-RW needs formatting then it will offer to do it before burning.
If you don't have Win XP or just want more control over your DVD burning then you will need third party software such as Nero or one of the many others. Some are even freeware.