Can anyone tell me how to burn a disc once I've put together a slide etc?

I have tried to follow the instruction's but it seems that when I save the project it starts to load up into whatever. I wait patiently for the green bar to get to 100% and then a box appears giving three options. Play, open folder or close.

Whatever I choose, I find I'm almost back to the start again!

Where am I going wrong?

Also is a DVD-R disc suitable?