Eagle, I obtained the sample you provided and it ran straight away. So this now begs the question, what is the exact specification of your system. I'm beginning to think that this could be because of a problem with say, your video drivers, or you're not running the correct version of DirectX.
Can you tell me if any of the samples that came with DGDK.NET work? I'm kind of banking on the premise that one of them or maybe a few of them will break when you try to run them from the start menu.
I basically downloaded the sample from your website, opened Visual Studio 2005 and ran the sample without modification. It worked as expected, so it has to be something else that's specific to your setup that's causing the problem.
Paul.