It’s hard to give you specific details as your post is fairly generalized and the problem could be occuring at a number of different stages between capture and final DVD output. Basically, you must make sure that the 16×9 format is being honored through each stage of the process. Your Premiere project should be DV Widescreen, 16×9 1.2 pixel aspect ratio. If you’re using Premiere 2.0 you can export right from the timeline to DVD (this may be true of other versions of Premiere Pro, but I went from version 6 to Pro 2.0, so I’m afraid I can’t tell you what the versions in between are capable of).
Exporting from the timeline is a great option, as the default settings for the DVD should nicely match your project settings. Still, be sure that the DVD is being formatted as 16×9. If you can’t export your timeline directly to DVD, you’ll have to make an AVI file, and then bring it into a DVD authoring software package, and create the DVD from there.
To break it down, there are three areas where you might be likely going wrong:
1) capturing the DV footage with capture settings that are not 16×9.
2) not having your project settings set to 16×9. (which will also cause problem #1)
3) Authoring the footage to DVD with incorrect transcode settings (probably the most likely culprit).