I've had similar problems with lots of devices and external hard drives. As fo3nix says, the most common problem is that Fat32 has to be the filesystem on the hard drive (why the manufacturers can't come up to date with NTFS? Cost perhaps - licensing?).
One solution might be to download fat32format (see below) which allows you to format large hard drives in a format that might be recognised by your DVD player (you'll need to copy your files over to a computer before you do this of course).
My problem (with a Sony portable DVD player) is that it will only recognise so many folders and files so there is a limit to the size of the hard drive and what you put on it! (Annoying to say the least!).
Links:-
fat32format download
http://www.softpedia.com/get/System/Hard-Disk- Utils/FAT32format.shtml
help:-
http://www.ridgecrop.demon.co.uk/index.htm?fat 32format.htm