A burner usually comes with a burning program that can do this. Same for a PC with a burner. If yours didn't, you can download free cdburnerxp. Yes, it does DVD's also and it runs on Vista and 7 also.
If the DVD is copy-protected there's no legal way to copy it, however. And illegal ways aren't discussed here.
I am wondering if there is any "free" dvd copying software out there. Please let me know if there is. Thanks, Tim