Probably, you copied your directory, but you weren't showing hidden files. SRB2 has a few required DLLs, and Windows hides them by default. So you selected all the visible files and burned them, but the DLLs were left behind, which is preventing SRB2 from working.
To get Windows to show all files in a directory, go to Tools - Folder Options, and click on View. Check the "Show hidden files and folders" radio button and try again.
If that doesn't work, you could always just burn the install file that comes from srb2.org and copy over your gamedata.dat file (which stores your unlockable data)