Firewalls can screw up the ability for the app to access the internet and your DVRs. Depending on what firewall software you use, you need to add the .exe file that was installed to your "allowed" list.
The app installs in \Program Files\DirecTV\DirecTV by default (or \Program Files(x86)\DirecTV\DirecTV for Vista 64) and is named DIRECTV2PC(TM).exe