Check
here and see if your player is listed as being able to playback VCD's. It's not unusual for players to reject anything other than original DVD's.
A general rule of thumb is the cheaper the player, the more compatable it is.
There may also be an 'unlock' code to enable (S)VCD playback, or, in some cases, a firmware update. These are also listed.
What model DVD player do you have?
Additionally, certain burning software is better that others a preserving things like chapter settings, etc.
What are you using to burn your VCD's with?
-john