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.
A) Post the debug.txt file found in Defcon directory
B) Could you post an ipconfig output:
1) Press the 'Start' button
2) Select 'Run ...'
3) Enter 'cmd' (if on windows XP/2000) or 'command' (if on windows 9x) in the 'Open' textbox.
4) Press the 'OK' button
5) After the command prompt as opened, enter 'ipconfig'
6) Select the output and paste it here. (You may need from the menu that appears when clicking on top left corner icon the 'Edit' -> 'Mark' and 'Edit' -> 'Copy' functions)