VMV movie to DVD

Hi I have bought a vmv movie on the Internet for 19,95 dollars. I wanted to burn it to a DVD for watching it on TV but but when I try it visit the site where I bought the movie and then it tells it can't be burned. Is it illegal to burn a movie I have bought to a DVD? Is there software, which makes it possible to make a DVD with the movie. Thanks in advantage for your help. Take care. Kind regards Mick