Don't know which version of Movie Maker you are using but I think that the make cd option is for making a still picture slideshow and optional music, not movie as you mentioned. Correct me if I'm wrong.
A couple of options for using Windows Movie Maker to make a dvd video disk of movie film, (as opposed to a dvd data disk), to play on dvd players, according to MS DVD burning in Movie Maker is dependent on Windows DVD Maker, which is only available in Windows 7 Home Premium, Windows 7 Professional, Windows 7 Enterprise, Windows 7 Ultimate, Windows Vista Home Premium, Windows Vista Ultimate
If you don't have these operating systems, the second option after capturing and working on the film in WMM is to save your work under the Make Movie/Finish Movie/Publish, Save to My Computer options and save as a file type DV-AVI, then later open that file in a third party dvd authoring and burning program like Nero or Roxio etc or a free program like DVD Flick which will convert the file to dvd format and burn to a dvd video disk which should play in dvd players.
A few questions what make and model camera, how are you connecting it to the pc, what version of windows and movie maker, or live movie maker are you using?