You did not follow the instructions on the datasheet of the LM2936 linear low dropout voltage regulator. It says IT MUST have a certain type of output capacitor (an ESR within the range shown) and it should have an input capacitor. Its maximum output current is only 50mA and you said the mini-DVR (that has no part number) draws 800mA.
A low dropout regulator always needs a certain ESR on its output capacitor but your circuit does not need low dropout, an ordinary 5V regulator with almost any output capacitor will work if it can supply the current used by the mini-DVR.