Hi, Carol. Generally speaking, the iTunes purchased movies can't be copied anywhere .due to the fairplay DRM protection. It of course can't be burnt to DVD disc.
But there are some 3rd party iTunes DRM removal software to help you. I recommend you take TunesKit iTunes DRM Media Converter for Mac and BurnX freeware
for a try. iTunes DRM Removal for Mac Remove DRM from iTunes Rentals and Purchases...
TunesKit for Mac is a professional DRM removal application to help Mac users remove DRM from iTunes purchased and rented movies and convert iTunes DRMed M4V to MP4 format with lossless quality. After converted, you can burn the DRM free MP4 video to DVD disc freely with any DVD burner tools, like Burn, BurnX, Simply burns, Liquid CD and so on.
If you are running Windows, you can try Aimersoft DRM Media Converter
and use the same Windows DVD Burner tool.
How to Burn iTunes Purchased M4V Videos to DVD