You are probably having network or firewall troubles. DEFCON uses a server/client structure for all game, even those that are not played with other people out on the internets. Both the client and the server will run on your machine, but they need to be able to talk to each other. So, make sure that your firewall is configured to allow DEFCON through. If I recall correctly, you need to open UDP ports 5009-50011.
Give that a whirl, and come back here if it doesn't work.
EDIT: Damn you both, ninja'ing my post. >:(