This is a pure guess, but have a look at your photoshow and see whether you have an "end" marker sitting behind your first couple of photos.  This would look like a distinct line (marker) with an "E" on top of it.  It's typically used to replay the objects sitting between the start marker (the one you create by clicking anywhere in your show) and the "end" marker (which you can click on and move manually) if you need to replay a segment over and over to determine timing or whatever.

If in fact there is an end marker behind your second photo, just move this to the end of your slideshow and try burning the project again.