Burning as Data will simply create a DVD with your AVI file on it.
It is then up to your DVD player to be able to play this file.
It is likely that the DVD player is at fault, not the burning.
To confirm this, put the DVD-R back into your computer and try opening the AVI in Windows directly from the DVD-R, not the original file and see what happens.
If it plays fine then the DVD Player is the problem and it cannot properly play the AVI.
You will need to convert it to a DVD format and burn this as a proper Video DVD.
I am not sure how this is done in Nero as I haven't used it for many years but I recall it has a function to do this.
I personally use TMPGEnc Video Mastering Works to convert to DVD but this is not a free product.
There are many guides available at VideoHelp.com for AVI to DVD conversion using both free and paid-for tools.