I'm sorry to say that if all you did was copy the files onto a dvd, then they will not play back on a dvd player (there are a few exceptions, but very specialised).
You have to change your movies into a format that your dvd player can read. If you are using XP then Microsoft provides a basic program for you to change the format, but I don't know if it will write the dvd.
Go to c:\Program Files\Movie Maker and the program is moviemk.exe
(I've just noted that there is a Save To CD option in the program, so it may write as well)