Alright, your problem with Nero when it was complaining was that you were trying to author your own DVD using the files you downloaded, which isn't what you needed. The data DVD is definiately the option you want to choose.
As for DVD5 vs DVD9, its all in what file you downloaded. The DVD9 file is well over the 4.3 GB the DVD5 file is. You wouldn't be able to burn the DVD9 file on the DVD5, so just burn what you can and it should be alright.