There are a couple of issues here, the first is that a CD is not a DVD - and your players are likely to be automatically treating it as such (and so not playing anything).

The second issue is the format of a DVD - it sounds as tho you are just copying the files to a CD and assuming that is ok. I can't remember how it is all set up, but a DVD requires certain files and folders in order to be treated as a DVD.

The easiest solution is likely to be to use a CD/DVD burning package (such as Nero), as they usually have options which allow you to create DVD movie discs.

Alternatively you could find out the requirements for the files/folders on a DVD disc (you may be able to work it out by putting a DVD movie into you computers DVD drive and inspecting th files/folders).

edit: I'm pretty sure that DVD's use an MPEG format, but I'm not sure which one.