Hi catfish.
Sonic wont burn downloads, because you need to decode the file, so my suggestion is get DVD Santa, its a free download for the demo version and it is so easy to use ti does all the work for you, the demo is for unlimited time it just has demo across the top of the screen for a bit...http://dvdsanta.com, Click on the link...
Now when you go to burn choose NTSC and you wont have a problem getting your player to run it....

Let me know how you go and if I can help in any way.....