That sounds like the problem lies with the Firewall not being configured to let MediaMonkey through. With the same setup here there is no problem connecting (I did have issues with my Router for a while which required a router reboot for DLNA to work on the network).
Start here:
http://www.mediamonkey.com/support/inde ... ork-at-all
Are you sure you've allowed to auto-sync file metadata from device to PC in the Device Profile?