Which Operating System, Firewall, and Anti-Virus are you using?
Please update to the latest beta -
http://www.holdemmanager.com/Downloads/HmUpdate.exe
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. Or turn off User Account Control completely and reboot.