One of the most common errors when burning a DVD for playback in a common player is to choose the wrong DVD format. The burning software offers you several choices. If you plan to play back on any "standard" DVD player, the safest choice is to have it burn a Movie type of DVD. This can contain one or several "movies", with a simple menu to choose which to play. Once you choose this and set up all its contents, the software probably will take time to convert the original files into videos that use a codec almost universal for DVD players.
If you burn just the original files to the DVD, that disk is actually a DVD disk full of data files, and few DVD players can handle those at all. This type of disk is good for copying files from one computer to another, or even for making a disk you can "play" on a second computer that has the right codecs and playback software. But not for playback on a DVD player.