Windows DVD Maker

I'm new to making DVD's.
I have a bunch of films in all sorts of formats: AVI, Video File, WMV, CD1, VOB, etc.

I figured i'd need a DVD+R to make a DVD, lol.
Except, big problem is that no software understands/doesnt accept DVD+R.
NERO and Cheetah DVD.
In fact, it seems like I can't do ANYTHING with these DVD+R discs (at least make Image cd, or Data Cd, or audio cd.. nothing)
I've tried burning in all different ways, but no setting on NERO accepts the DVD+R disc.

Recommendations?
How do I use NERo to make a DVD with DVD+R disc?
Be specific.

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