I did not use the DIY, i used the method in the manual.
You can use a CD or DVD, but the data on the CD must be a min on 1.8MB and on the DVD 280mb, so I would use the CD.
So take a blank CD create a Pictures folder, put all pictures into it and burn and make sure the total data is greater than 1.8mb.
Make sure the CD is closed or finalized and you should be good.
Use Roxio or Nero or any burning software, dont use the winxp built in burning capability since it will only close the session not the whole CD.
Let me know how you make out.