It's just burning the files as-is.
If your dvd player can't 'play' a disc just containing a bunch of photo files, that'll be why it isn't working. ImgBurn always finalises the discs it burns.
If you want to make a photo slideshow DVD Video disc, you'll need to use another tool to do that and then burn the VIDEO_TS folder (containing IFO/VOB/BUP files) it creates with ImgBurn (look at the guides forum if you get stuck).