FWIW, I use Nero to burn VIDEO DVD's and they play fine on all of my DVD players.
You need to burn them as a Video DVD. It should burn two folders: AUDIO_TS and VIDEO_TS.
What exactly are you trying to burn? If you are burning a copy of a DVD, or a homemade DVD you downloaded, then you should put all of the VIDEO_TS files into the VIDEO_TS folder and burn away. Otherwise I'm not sure.