1) I have used Ulead Video Studio for years. It does what I need and works well for me. (I've never used Vegas, so I cannot offer any comparison.... sorry.)
2) For WMV to DVD, I have used Movie Maker to convert to DV-AVI, then Ulead Video Studio to convert to MPEG-2, then Ulead DVD Movie Factory to create the DVD. (Video Studio will make DVDs, but Movie Factory gives more options.) If Vegas supports AVI and makes DVD, you could do the same. (Of course, the better quality the original, the better the final DVD quality. Converting a low-quality WMV file to DV-AVI will give you a low-quality AVI file, even though it's large, so start with the best quality file you have.)
I have been making home-made videos for the family and photo slide shows with the Windows Movie Maker, I felt limited with the program since it's very basic and I found Sony's Vegas Movie Studio and once I learned from the tutorials I began making movies, I had more fun because it has more capabilities and transitions, etc. But, like always, I tend to want to do more and the program won't let me, is there another software I should have in my list, for the next time, that has more flexibility to make creative videos that doesn't look very home-made at all? Thanks for all the replys, also I have some videos in WMV format and I cant burn them into a DVD because of the format, is there any way to convert them?

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic