There seems to be a contradiction in your question. A JPeg is a still
image not a movie. Unless you meant MJPeg.
It is usual to use a DVD authoring program for creating a DVD Disk for
playing in a domestic machine. Such programs nearly always accept the format
DV-AVI as a valid input file. DV-AVI is one of the two file types that Movie
Maker can create.
If you really do need a converter, take a look at my website and click
on GREAT LINKS > KNOWLEDGE BASE > VIDEO HELP for the best resource I have
ever seen on conversion programs.