If you're using DVD+R DL (8.5GB) media (and only +R DL, not sure about any other), you need to set the booktype bit to DVD-ROM when burning so your player recognizes it.
With Nero (preferably recent version), go in Choose Recorder and in options, advanced, and set the booktype to DVD-ROM.
For Lite-on burners, use K-Probe program and google for a tutorial on how to use it. Nero disabled booktype in it's program for Lite-on at the latter's request (why is still a mystery to many).
You could verify if this also applies to DVD+R 4.5GB. I can tell you that if your media is DVD-R 4.5GB, there should never be a problem and should always play in DVD players without any kind of tweaking.