Sounds like you didnt portforward the DSS port. Portforward the port 26026(aka the DSS2 port), protocol UDP. Unless you do that, DSS's Client to Server functions wont work.
Well if you dont have a router, then allow the firewall requests if you have one firewall. If you have ZoneAlarm firewall, change its security settings to Medium or it will block those connections.
It's written in the Readme, and in the DSS Guide too
