Hello patech and welcome to the forum
The only piece of information I need to know is are you using Tier 1 (Basic with the AppGameKit IDE) or Tier 2 (C++ with AppGameKit libs with VS2010 or similar as an IDE)? I'd assume Tier 1 because I don't think you can broadcast to the player from Tier 2 (Although I maybe wrong, I use Tier 1 myself)
I'm fairly sure I didn't have to do much in the way of network config to make AppGameKit work properly, apart from pressing the odd "Ok" button in the firewall dialog the first time I ran it.
Windows Player: I've never heard of this. Although thinking about it it's obviously the little exe generated by the IDE when you compile (In tier 1); I assume it just plays the bytecode. To the best of my knowledge the correct version is supplied as part of the AppGameKit installation.
Apple Player: Due to Apples restrictions, there isn't an iOS Player as such, there is instead a Viewer, which is similar, but not the same thing. It simply replays whats on your PC's screen to the iPhone, rather than running the bytecode in a VM which is what the player does.
Android Player: The best one is the one from the store, in conjunction with the latest beta (currently 1.08 beta 19); I'm not sure where the "official" place to get the player for the current Stable version is. It's not listed under "My Products", and is not available on the droid store.
Start again with a clean fresh install of AppGameKit (I would recommend the Beta if you plan on using mobiles to test using the player) and make sure you have the correct version of the player/viewer installed from the relevant store. Let me know what happens when you compile and run a simple "Hello World" program.
do
print("Hello World!")
sync()
loop
This should at least compile and run on your Windows PC, if not broadcast to the player/viewer on the mobile devices.
Hope that helps a little, let us know how you get on