DVR? Like from a Tivo?
With some DVRs, you may be able to hack/mod them to enable some sort of network connectivity, which would let you directly copy the recorded MPEG2 files -- but that's way beyond the scope of a single post on here, and depends on what particular model of DVR you have.
If that's not possible, you'd have to use a video capture card to grab the output video from the DVR and re-encode it on your PC, just like you would with any other analog source.