Open up your Network and Sharing Center on your computer and verify you have a functioning Network broadcasting WIFI through your router. See my screen shot here.
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I'm surfing the net,so I must have a Wifi working
Then open up the AllShare desktop client and mine looks like this after it is all set up.
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This is mine :
Yours may not look like this yet, so open Tools > Network Info and verify that your network is there. Here is what mine looks like.
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It just shows that my network is active. You should see yours.
Yes there it is :
Now open Tools > Settings and you should see something like this.
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If it is empty, then choose the Add Shared Folder and Navigate to your Music Folder and add it, then Videos, and Pictures. It will take some time for the program to load your content, so just wait.
It wasn't empty :
Now that you have a network and shared folders, open Tools > Settings and click on the Privilege tab. This is where you can see all the items that are connected to the server. The first entry is my Droid 2 the Second is my Droid Charge. For them to show up you have to have WIFI enabled on your phone and the DLNA app opened. Check the box in upper left (Always Allow) and you will bypass the pop up asking permission. Now and you should see your phone listed.
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I enabled DLNA on my phone and searched for devises, no luck
See : http://i44.tinypic.com/2qb7nly.jpg
Finally on your phone you should see something like this when you have the DLNA app open.
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When you hit the play button you will see the Shared Content or Shared folder. Just drill on down until you get the idea and you will get to see/hear your media on your phone. To listen/view to the media that is on your phone on your computer or other device touch the Share Media button on the phone and the bar below will turn green. On your computer in the privilege tab of settings you must have "Allow" checked on the bottom of the screen.
I hope this all works out for you. Let us know where specific problems may pop up.