When you drag or send files to CD or DVD using Windows, they will appear as you've described until you actually tell Windows to burn them.
Just dragging or choosing 'Send files to...DVD' is only the first part.
Go to Computer (or My Computer if you're using XP), then double click the DVD drive that has your blank disk in.
Somewhere on the left it will say 'Burn these files to CD' or something like that.
A wizard will start where you can name the disk etc. Choose the option that lets the disk be read by all computers, but never written to again.
Click ok a few times, and that's it.