I have that same USB conglomeration and it is a 2 step process. I am using the output from a VCR into the USB dongle and using the cheesy PVR software that came with it. It works like a champ to create mpeg4 files with video and sound. It looks like there are a couple of CDs that come with that little monster. Did you try using the cheap software (not the Cyberlink stuff) to do the camera/USB capture?
From the resulting MP4 files you can use just about anything (like Pinnacle or Cyberlink) to make custom DVDs.
And Mr. Floyd is correct, the TR3300 is not a Digital Camera; it is a Hi8. You will have to use the 3 RCA connectors to transfer video and sound. I have the Sony TRV350. It is a Digital 8 and you can capture & control via 1394 (firewire). If you really want good quality DVDs the Sony DCR-HC52 gets you into a fireware link and is only $250. For another $50 to $100 you can get Pinnacle, Sonic/Roxio, Ashampoo, etc. software to do everything from control the camera, render the video and burn the DVD.
Of course, for $300, the Sony DCR-DVD650 records directly to DVD so when you're done, you just take the DVD out and watch it.