What Fruit Bat /\0/\ is saying is that if using the disk in other than the drive it was produced (in this case your PC) you will need to "finalise" (or finalize) it to allow it to be read in, say, a DVD player.
You should be able to read (play) the DVD in the same drive as produced it without this process.
From your post, and from the image it looks as if the burn process is being rejected because either the name of the file is too long or it has been incorrectly identified.
Make certain you navigate to the actual file to be burned - not the directory - and if the file name is long try re-naming to something shorter.
Try extracting the rar again with Winrar,extract the first rar file and it extracts from the others in the series to build the iso or avi etc.select "Extract here" when using winrar. If iso Burn with imgburn as above.