Just to clarify, a vcd means a mpeg-1 video with a resolution of 352x240, 29.97 fps, and mp2 audio at 224 kb/s burnt on to a cdr or cdrw. Anything other than this (like burning to a dvd) is not a vcd. By the way, I have never even seen a .vcd file, and I have burned lots of vcd's. If you want to burn the file to a VCD so a dvd player can read them, the freebie Ashampoo can take the mpeg-1 compliant video and burn it to a cdr. An alternative would be to burn it onto a dvdr because the dvd player specs supports the mpeg-1 video. However, the dvdr disk will have the same files and folders as a regular dvd (not vcd).
Of course, all the above info means little now because it sounds like your player wants some mp4 format instead of raw mpeg-1 or .dat which is the video file on a vcd.