The problem lies with Windows Movie Maker. When the program creates the final slideshow video, it is compressed into Windows media format. Windows Media is NOT lossless, and most DVD players do NOT support the format.
If you have a DVD burner, then a program such as
Roxio Easy media Creator will easily let you create a pretty slideshow playable on any DVD player. There would be a slight decrease in quality, but not to the extent you see with Windows Media.
If all you have is a CD burner, the easiest method may be to simply forego the pretty transitions and burn the JPEGs to disc. Otherwise, you'd have to go through the tedious process of creating a VCD, which is too involved for most.
If you happen to have an iPod with a color screen (Photo, Nano, 5G, 5G R2), another option would be to use the iPod's built-in slideshow feature along with the
iPod AV Cable ($19) to output to TV. If you felt inclined to do so, you could record the iPod's output to VHS. Bonus: Background music couldn't be easier.
I hope this was somewhat helpful.