A CD has a capacity of 600 or 700 MB, and can be used for data in a PC or as a standard audio CD in a CD-player (or a PC, or in some DVD-players). To make a standard audio CD, use the "audio CD" setting of your burner.
A DVD has a capacity of 4,7 GB (or 8 GB if it's double layer, or 25 GB if it's blue ray. It can be used for data in a PC, and for standard movie DVD's (like you buy in a shop) for use on a PC (if it has the right software) or a DVD-player. To make a movie DVD most often a special burning program like DVD Flick or Windows 7 DVD maker (see http://windows.microsoft.com/en-us/windows7/Burn-a-DVD-Video-disc-with-Windows-DVD-Maker) is used.
To complicate matters, many modern DVD-players can play media files (like pictures or audio or movies) from data DVD's in many different formats. But they don't support as many formats as a PC and there are many differences in what different players recognize. So even if you study the specs and try to comply it's not sure it will work. Then you may have to convert your movie to a different format and try again.