What format are you saving your slideshows to DVD as?
If you have set up your video either with menus or as an Auto Start (under Disc Menus) and you have gone to Share/Disc, you have created a DVD.
One way to see if you have successfully created a DVD is to put the DVD in your computer's drive and browse into it. There should be a folder on the disc called VIDEO_TS.
There are two ways to get one's Project onto a DVD. Steve's method is for the creation of a DVD-Video, which will play on a set-top player, hooked to a TV, or on a computer via a software DVD player. This can also be done by Burn to Folder, where a physical disc is not yet created. One will have the full DVD-Video folder, VIDEO_TS with the necessary files inside, where one chooses to locate it. This can then be played via that same DVD software on the computer, or Burned to disc with a burning utility, like the great, free ImgBurn.
Also, one could Export/Share to any number of AV formats, and these can be burned to a DVD-Data disc. Some hardware players can read some of these AV files, or one can use almost any player on the computer to play these. Most DVD set-top players, however, will not be able to play these - just some rather specialized ones.
Now, what did you do? What were the exact steps that you used?
What exactly do you wish to do? How do you plan on delivering the SlideShow?