Has this worked before? Do you have a DVD burner, not all DVD drives can burn to DVDs, some are only CD writers and DVD readers? Have you tried more than one blank disk?
Do other disks work ok in the player, can you play movies with no issues or burn a regular CD?
How are you trying to copy the files to the dvd? Could be your software is having an issue as well.
If you're using the Windows CD burning wizard, it only writes CDs.