iTunes video is protected by DRM, if you want to burn it you need to remove the DRM protection firstly, then convert it to AVI, finally you can use Nero to burn it.
I recommend Daniusoft Media Converter which can help you remove media DRM and convert it to other video formats such as WMV, FLV, AVI, ASF, MP4, 3GP, etc.
Hope it helps!
