Any legit site with said content should have instructions on this. But given only this information you could try it with the software you own or email the site's owner and ask them how.
Bob
I've downloaded a movie witch is an MKV file. It is the english version of the movie. Along with this movie, their was about 15 different languages with it, M4A files.
Is it possible to burn this movie with another language? Software or something else?
Thanks for your help on this.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic