First, check out this thread:
http://www.tivocommunity.com/tivo-vb/showthread.php?p=3644245#post3644245
The VideoRedo program works really well at converting the .tivo files to MPEG or VOB for burning to DVD. I used to use Nero to re-code the videos but it takes forever.
Here is the process if you use VideoRedo and Nero:
1. Download show(s) to PC using TiVoDesktop
2. Open .tivo file in VideoRedo
3. Use the Ad-Detective feature to mark and cut out commercials if desired
4. Save to VOB file
5. Repeat if you are putting multiple shows/episodes on one DVD
6. Use a DVD Authoring program to create the DVD and menu if desired (I'm using DVDStyler mentioned in the above thread - not sure if Nero will author with VOB files. If not and you want to use Nero, you can probably save the files as MPEG instead)
[Edited to add this part]: DVDStyler is not very self-explanatory, what you need to do is set its Configuration to point at the folder where you saved the VOBs. Then you drag the ones you want down to the 'timeline' at the bottom in the order you want them, if more than one title. To create the menu, you click the "Buttons" tab on the left, then drag a button onto the menu screen at the right, right-click and edit each button's properties to change the text and which title that button will start playing. You can also import an image as the menu background.
7. Save the authored DVD as an ISO image if using DVDStyler, then burn using Nero or whatever.
I'm actually burning my first one right now so I can't check to see if Nero can author with the VOB files. My experience with Nero authoring is that it wants to re-code everything and takes forever but I could be doing something wrong...