Are we talking about a CD player or a mixer?? Sorry but you mention CDJ but you're downloading the DJM file.
Either way, I am guessing you mean the mixer, DJM 900. 99% of the time, when users are having issues connecting, it's your firewall. Disable it and reboot and make sure when you boot up again, the firewall is still disabled.
If that doesn't work for you, please clarify what your talking about and give details on what OS your using (mac/pc, windows 7, 8, etc.)
Good luck
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