Wanted to report what I ran in to regarding this problem.
I installed the DLO Agent successfully on 2 laptops, went to the 3rd laptop, installed the DLO Agent, and got the error reported above when attempting to open.
The site Symantec linked me to didn't work at all.
I ended up editing the registry file on the client machine...
HKEY_LOCAL_MACHINE\software\symantec\DLO\3.0\Client\DefaltMediaServer
Double click on the DefaultMediaServer and type in your server's name.
Worked perfect.