Maybe you don't have software to play the dvd or it's actually only a cdrw and not a dvdrw (just being methodical, nothing personal, some of the brightest people overlook the smallest things) ? Download vlc media player and try again and set that to default player as it has one of the better range of codecs etc.
First, clarify this:
1. Do you have a cd-r drive or dvd-r drive? (May have a "w" on there but for the moment that's not too important).
2. Did you try downloading what I asked you to and pop in a dvd to see if that works?
Once you clarify these two points I think you'll have your question answered very quickly.