My guess is you don't have your team number set up correctly, or the laptop which is running smartDashboard doesn't have it's network settings configured properly.
Lucky for you the documentation has gone through a significant overhaul recently. You should read through the guides here:
http://wpilib.screenstepslive.com/s/3120/m/7932 particularly
getting started
Keep in mind that the new documentation is meant for the 2013 version of smartdashboard, although it will likely be good enough to get you going with last years version. If it doesn't match up for some reason, I made a
quick and dirty setup guide after I figured out how to get it up and running last year.