What is the Model# of the DVD player in question? Are you sure it is not DVD-R compatible? There are allot of other issues that could cause this error message on your player. Using cheap media Burning to fast Playing a PAL video on a NTSC DVD Player (Non compatible PAL DVD player) Backed up the DVD incorrectly More information would make it easier to help with determining if this is actually a DVD-R compatibility issue.
All DVD players that have a DVD logo on them and manufactured since 2000 should be able to play DVDs since the logo is an endorsement from the DVD Forum which has approved DVD-R/-RW (but no DVD+R/+RW). If you are getting a message about an incompatible format the issue could also be DVD-VR versus DVD-video or illogical format structure in the recordings. It could also be PAl vs NTSC or vice versa as larrylje pointed out.
The model is GPDVD5, I am using cheap media and at the start I was burning to fast,I,m not sure about the pal ntsc thing but anyway I was wandering if there was a update on the firmware for that model.