I'm assuming you've hooked up one of the outputs on your DVR to your VCR.
I'm going to describe my own setup so you can see how it works at my place. If you understand how it works here, maybe you can figure out what's different about your setup.
Think of the video signal like water flowing. You should be able to trace the path from one device to the next, the same way you would map a river.
In my case I have cable signal --> TiVo --> VCR --> TV with three different branches (a splitter proves the signal from my cable to all three devices). In each case the output of the upstream device is connected to the next one downstream.
My VCR has three inputs -- Line 1, Line 2, (both RCA phone plugs) and the coax cable connector. To switch between them, my VCR has a handy switch on the remote labelled 'input select'. I'm told that a lot of VCRs don't have a button like this and to get to the inputs you have to switch the channel downwards when you are on channel 1 or some similar technique. Check your VCR's manual for details.
Similarly my TV has multiple inputs. In order to see my VCR, I tell my TV to look at the coax connector, which is how my VCR is connected to it.
So, in order to record something, I set the TV to the coax input and tune to channel 3, and use the VCR/TV switch on the VCR remote so I can see what my VCR sees.
Then I use 'Line 1' to record from TiVo #1, 'Line 2' to record from TiVo #2, or the coax to record off the VCR's own tuner.
The #1 cause of Save to VCR not working is not having your VCR set to the proper input before you start recording.
Hope this helps.