It seems the file you download is not of DVD video formats which has a video_ts folder, and many .ifo, .vob,.bup files under the folder, so after you burn by data mode, the dvd player can't recognize it.
If you want to keep a copy and play on your DVD player, you may rent this DVD from the shop, and use DVD burner to make a copy. I suggest you use Longo DVD Copy from
http://www.longodvd.com to make a copy of the original DVD. With this tool, you don't need to worry about the burning mode(data mode or video mode), this soft will automatically do all the work, you just need to insert the DVD into your DVD drive, and start copying. Media URL: http://www.longodvd.com
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