Burning a DVD is a time-consuming process, and can take 20 minutes to an hour even for short files (and as long as 4 hours for a full-length movie). The total time will vary depending on the speed of your PC. Even if it looks like nothing is happening, the burn may be proceeding normally. Before starting the burn, disable your screen saver; then, once burning has started, simply leave your computer alone for an hour or two, and then check back.
The burn speed should be at or above the speed of your DVD burner (for example, if your DVD burner is 16x, an 8x disc will not work unless you lower your burn speed to 8x or lower). You can use either a DVD-R or a DVD-RW disc; if the DVD-RW has content on it already, you'll be prompted to erase it as part of the burning process.