OK, first has the DVD-R already have files burned on it? You can only use a DVD-R once, unless you chose to not close the session after burning. Next, what software are you using to burn the DVD? This may seem obvious, but do you have a DVD/RW drive?
Be sure you are using a blank DVD-R that is a name brand not a generic (Phillips, Sony, TDK etc) Try using the free program CDBurner XP
and choose to make a Data Disc,
and drop your photos into that.