Welcome, New Guy!
It is not a 'Function' or menu item. You just connect one of the available Audio/Video Out connections to the input of a DVD recorder. You can use a stand alone DVD recorder (as I do) or connect to a Video Capture device on a PC. You record the program as it plays from the DVR.
If you are thinking (or were told) that you would simply be able to 'transfer' the video files from the DVR to a DVD (like copying files on a PC), you cannot do that.
It is rumored that 'DTV to Go' functionality is coming that will allow that type of transfer of recorded material, but there is no date as of yet...