You need to have a compatible writer. Your DVD/CD RW needs to be able to burn CD+G there's not so many around now that do it. I use Plextor Drives as I find them the most reliable.
Alternatively you could use Karaoke DVD Burner to create DVD's on an ordinary DVD burner. Power Karaoke is a good site to look at for software and help. you'll also find a lot of other karaoke software for running karaoke from your PC