RCA Small Wonder EZ201

I hope someeone can help me. I just got an RCA EZ201 camcorder. In the quick start guide it states vidios will be compressed into WMV format. In the specifications the Vidio file format is AVI. I AM CONFUSED.I can download to my pc using the built in RCA Memory Manager. I run Windows XP sp2 and windows media encoder 9.0
I use windows movie maker to save it to a dvd and a data cd. It recordered to both and both will play back on my computer but not on a dvd player. I used one player from my main tv and I get the audio only. When I try to use a different player all I get is can not read disck. Am I doing something wrong or is there some other product I need?