They need to be in a format that can be read by your DVD player ( typically) .jpg if it is like mine.
There may also be a file size issue in that my original DVD would not play files over 500k as I presume the internal memory buffer was too small. My latest player(s) seem to be able to handle files >2 meg.
I just dumped the photos as jpeg's to the root of the DVD player and they displayed fine on a liteon 5045 & a Panasonic.
1 try as .jpg ( or check the format your DVD player accepts
2 Reduce file size if above does not work
Some software also allows you to save the photo's as a video file which the plays as a series of still frames displayed for X seconds ( Pinnacle does this) which you can pick up from EBAY at reasonable prices.
'How about turn all your old photo to a sliceshow in a DVD or VCD...SVCD and play it with your DVD player'
PINNACLE STUDIO PLUS 9(DVD+VCD+PhotoSliceShow Authoring £9 + p&P (Ebay item 5793399211).
Not guaranteeing the seller but the product is A+++++
Hope that helps