burning downloaded shows

Just needed a lil help. I downloaded a season of a tv show and wanted to burn it to a cd for my sister. It won't allow me to burn it. Does anyone know how to make this happen? I have no problem with songs and burning them to a cd. :?:

In iTunes, under the File menu, choose Back up tp disc. Insert DVD, and iTunes will back up all your purchased items (TV shows etc). It may take 5 or 6 discs depending on TV show, and your ODD.