Welcome to the forum
If I’m reading your post correctly…you’re trying to burn a DVD R with Windows’ own burning engine?
Windows XP’s burning engine only supports burning to CDR IIRC. To burn to DVD media you’ll need a separate piece of burning software (Nero, Roxio, there are also some free options out there), as chef mentioned.
Vista natively supports burning to DVD, though.
BTW, love your avatar