First, if you're using/running any skinning programs that change the appearance of windows (window blinds..etc..), disable them or better yet uninstall them, they can hide some of the options shrink provides.
Second, make sure the burn with nero option is checked in shrink's preferences. To make sure, run shrink and got: edit-->preferences, click on the file I/O tab and put a check in the enable burning with nero box.
Last, if you upgrade to version 6.6.1.4, this version will not allow you to autoburn when using shrink, you'll need to burn to disk manually. If you wish the autoburn function to work you'll need to install version 6.6.0.18 (but first uninstall version 6.6.1.4).
If you want version 6.6.0.18 packages 1 and 2 (install in that order), here are the downloads
