The CD-i does not have any copy protection, and most players can read CD-R discs without issue. To maximise the succes of a CD-R being able to be read by your player it is advised to burn the disc at the slowest possible speed your burner supports, and use discs of good quality. A simple way to judge the quality of a CD-R is to hold it up to a light and see how transparent it is. Generally, the less transparent the disc, the higher quality it is because more of the laser is reflected back to the sensor. Inktjet Printable CD-R's are especially good in this regard.
More information about burning CD-i images can be found in the CD-i Burning Guide from The World of CD-i.