One possibility is the data you want to burn won't fit onto a CD. The size limit on a CD is 650 MB. Try creating the Shareable CD except, in the last step, after taking note of the path that is given to the CD files, Click Not to burn to a CD . You can actually leave that window open and use Window Explorer in another window to traverse to the folder shown. Click on the folder and note the size. If it is larger than would fit on a CD, (over 650 MB's) you will have to burn the contents to a DVD. (You can now click Not to burn the CD.)
Another option is once the Shareable CD contents are saved on your computer you can right-click on the file and then click "Send to" and choose the drive where you have already inserted the CD or DVD. If it rejects the CD, you will know you need a DVD, not a CD.
If you manually try to copy the files in the folder to a DVD, don't copy the folder, only the contents.