The difficult part of this sentence is the DVD title already having an indefinite article. In cases like this, you would choose whichever indefinite article fits grammatically. For example, I would phrase the sentence as:
I want to buy The Exorcist on DVD
Or, depending on whichever style guide you are adhering to:
I want to buy "The Exorcist" on DVD.
The object of the sentence is the movie named "The Exorcist". Here, DVD is used more like an adjective — it provides additional descriptive information about the movie (it is on DVD as opposed to VHS, or streamed on Netflix, etc). There is no need for the additional indefinite article "a" to appear in the sentence, because the object of the sentence (a movie title) already has an article.
An alternative that uses "a" would be:
I want to buy a DVD of "The Exorcist".
Here the object of the sentence is the medium through which the movie can be watched (a DVD), and the title of the movie is an additional description.
You do not need two articles when the object of a sentence is the title or name of something, and the title already contains an article.