The SDK has the option to install debug or retail builds of the DirectPlay DLLs. When developing software, it best to install the debug versions of the DLLs. The debug DLLs have addition code in them which will validate internal data structures and output debug error messages (using the Win32 OutputDebugString API) while your program is executing. When an error occurs, the debug output will give you a more detailed description of what the problem is. The debug DLLs will execute more slowly than the retail DLLs but are much more useful for debugging an application. Be sure to ship the retail version with your application.
In order to see the debug messages, it is necessary to configure your computer so that debug output will be displayed in a window or on a remote computer. An interactive development environment like Microsoft Visual C++ allows you to do this. Consult the environment's documentation for exactly how to set this up.