I think that this is happening because the there is no pre-configured item nor is there a writer writing data to the URL dstp://weather.ni.com/msdemo. You can verify this by creating a new VB project, dropping a DataSocket control on the form, drop a button on the form, double-click on the button, and type CWDataSocket1.SelectUrl in the button's Click event handler. When the Select URL dialog comes up, type weather.ni.com into the "Browse host" field, click Refresh, and look at the items that are shown under weather.ni.com - msdemo is no longer there. Instead, I would suggest running the DSWriter sample locally and try your project with that instead.
- Elton