I didn't know Media Player 11 had VCD-authoring capabilities. I don't think it does, at least with XP. if you have Vista, it comes with a dvd-authoring app.
But for XP, you'll need a 3rd-party app to make VCDs and DVDs.
Some I've used and liked:
Ulead Video Studio
Ulead DVD Moviefactory
Pinnacle Studio
Ahead Nero has VCD/DVD authoring capability
Roxio Easy CD and DVD Maker also has VCD/DVD author capability
There are freeware VCD/DVD authoring apps out there. Just google for it.
Most probably the file has DRM. you have to break the DRM first before you can burn it in VCD or DVD.