How did you burn it? It is important to recognize that set-top DVD players require that videos be converted to specific resolution, format, and adhere to a specific file structure and naming convention. For this reason, you need tools like iDVD (comes with your Mac), Toast, DVD Studio, or Encore. When people usually have this problem, it's because they simply burned a data DVD with some movie files on it, not knowing that DVD players won't recognize the disk
If you didn't use iDVD, try using that to create the DVD first.
If you were using a video DVD authoring program, and it didn't work, there are a few possibilities: the DVD player you tried doesn't support playback of recordable media (all recent models do, but players that came out before recordable DVDs were common often didn't); the DVD-recordable media itself is problematic (some brands perform poorly in regular DVD players); or the video encode failed (rare, generally happens as the result of a software glitch somewhere down the line).