First thing first - make sure you have hardware that can write disks!
If you can copy/write cds, cd-roms etc, then your hardware should write/copy dvds too.
You ought to be aware that the huge majority of commercially-available dvds have copy-protection on them - so even having suitable hardware, and the software to do the job, will not enable you to copy those disks unless you "crack" them... the legality of which is questionable. As its probably illegal to do so, getting software for this kind of job is a harder task:(
NERO is probably the most well-known and widely-used software for all kinds of disk-writing/copying tasks, both for music, graphic media, data and dvd. It has a choice of two interfaces - for newbies, and for advanced users, so you can get started straight away. Although I have Nero, I tend to use Roxio, mainly because it came bundled free with my laptop, and it's a breeze to use, and quite fast handling even large amounts of data.