You can download many different types of file from eMule. Examples are mp3, avi, rar, doc, rtf, iso, etc etc. If you are talking about storage, you should be able to save all these types of file to disc. However, if you store a text document on a CD and put it in a CD player, it obviously won't work. Some need to be converted, such as avi. You would normally encode avi into normal DVD format then burn it to work in a DVD player.
Let us know what files you are trying to burn for more help.