Putting movie on portable movie player

[cyberguy]

I just bought one of those portable mutlimedia organizers, and this one supports DVD movies, but it doesn't have a DVD drive, only a 60 GB hard drive. I burned a favorite movie of mine onto my computer to put onto it, and the movie came up in 2 folders, Video and Audio, and they had the extension of .VOB. Now i'm now sure how i can play them on the player if they are in this. Can anyone give me some insight on this? Thanks!