You’re not doing anything wrong, you need to change the build/format folder, which is tricky in DVDSP. Go to preferences > destinations. Now logic would tell you to change the ‘encoding’ destination folder but there are actually several different destination folders in DVDSP. Click on the ‘encoding’ pop up menu and select ‘Built/Format’. Create a new folder or change it to a different one. Click ok and everything should be set, burn away.