Which Operating System, Firewall, and Anti-Virus are you using?
Please update to the latest beta -
http://www.holdemmanager.com/Downloads/HmUpdate.exe
A- For W7 and Vista you must set \holdem manager\dbcontrolpanel.exe, holdemmanager.exe and hmhud.exe are started as administrator. Run the windows explorer and navigate to your Holdemmanager installation directory. Right click the executables and select properties... then select "Run as admin" from the compatibility tab.
B- Add exceptions for those files to the windows firewall, even if it is off.
Do the same A & B for the main ongame.exe and entraction.exe files