Do you use a DVD-R or or DVD+R? or a DVD rw or something...well the least i know is that you cant on a cd-r....
Many advise dvd- I personally use dvd+ since I could get bulk amounts (100+ XD). Never use RW disc of any sort, and avoid dual layer disc and games...they give the system a fair work out, and those lasers die quickly Make sure to use img burn, 4x speed or lower.
Like hypnos said, you can use DVD-R or DVD+R. It's just other systems that are picky. Like the Wii. I have PS2 games burned onto DVD-Rs and +Rs. Only PS2 CD games should be burned to a CD-R. There aren't that many. The Thing and the Taiko no Tatsujin Series are the only games that I know of that were on PS2 CD.