You also need network discovery turned on (at least on Vista). I had this issue playing DG over Hamachi when it first released.
If you don't know how/what that is, google. Not too hard to deal with. You may need to enable/start some other services to turn it on.
Also, if you do use Hamachi and have followed steps to prioritize your network connections for it, you may need to re-prioritize them by moving your LAN adapter back up above the Hamachi adapter.