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Dlink support replied to me and gave me a new Wizard for Mac:
I presume you are a Mac user?
You need the latest install wizard, you can find it here:
http://d2okd4tdjucp2n.cloudfront.net/mydlink_Setup_Utility_v1.0.06_07272011.app.zip
....you might think they would just have put that link on their homepage, or on the box?
Anyway, with this new Wizard it worked first time!