Hello, my name is Dan.
I will do my best to help you, the only stupid question is the unasked one.
What was the format you exported as?
WHat I mean is a DVD player is not like a computer in that the files/formats it can see are very limited.
It has to be in a format it can read such as Video with a separate Audio or a combined file in MPEG-2 as standard. iMovie does not encode in that format, iDVD
does as does DVD Creator (in the app store).
That will play on your DVD player. As for the player reading it from the thumb drive, it will still need to be in that same format.
The player would have to decompress that file and open it for it to play. Burn it to a DVD disk and you will have what you are trying to achieve.
I do many, many custom videos, weddings, school events, 8mm silent film, etc. I burn them to DVD using iDVD and now since Apple dropped support for iDVD, DVD Creator.
If your DVD player can open a disk image then that is the way to go, or use a real DVD.
Hope that helps.