Pinnacle Studio 8 writes to DVD format.
Burning an avi file to a DVD is not the same as a DVD, have a look at an original DVD and you will see the file structure on it.
Not sure that AVI is the best way to capture in the first place, either capture as mpg or DV (better quality). Then render the file to a folder on your pc as a DVD, that way you get all the vob files etc in a VIDEO_TS folder you can then check that the DVD format is correct and plays on your pc before burning the DVD.
I assume that your Sony can play DVD-R's, some are finicky and will play only +r's or -r's?