Darn it, I had a long reply all typed out and then Dis was timing out then the PC locked up.
IMHO Nero is the best burning software by far. (We use RecordNow at work.) The suite also comes with a ton of other software which ranges from good to great.
To do what the OP wants, they'd probably need to use a backup program which spans discs. Nero Backup will do that. I don't think the Windows built-in one will (it also does no compression, which admittedly isn't so big of a deal on JPGs since they don't compress well.)
The downside is that you need the same backup program to pull the picture off, plus you can't view them on a DVD player that supports JPG, unlike a normally-burnt DVD.
I'd recommend using Nero and just remembering what the last picture you could fit on a disc is, or more the whole bunch when you're done with the each disc.
Make sure, no matter what you use, to turn on "verify"! On Nero, this is a checkbox available during the burn. On Roxio, it's set up earlier, in project properties I think (or maybe general options... somewhere in there.) This way you can be confident that you've made an error-free burn.
You may also want to consider a disc indexing program. Free ones include DiskBase (good but abandoned, and a tad ugly but perfectly functional and fast) and Disclib (better-looking but can be very slow on big disks or big collections.) There are others, too. This'll help if you're looking for a specific thing and can't remember what disc it's on.
I don't agree with PaulD's method (sorry) of backing up to hard drives. There is no modern storage medium more unreliable. It's best IMHO to burn one or two DVDs and store one and leave the other out for accessing when you need it. If you really want to make sure that you don't lose your pictures, toss the "safe" disc in a fireproof safe along with your important papers. Besides, DVDs are incredibly cheap!
If you're really, really concerned, you could make PAR2 files for each disc, that way unless the disc is 100% toast (which is pretty much unheard of unless it's physically damaged), you will be able to use those files to repair any damaged or unrecoverable pictures.