Make sure that the servers you want to protect (in our case the SharePoint servers and database servers) have the following updates and patches applied to them :

SharePoint

• Windows 2003 SP2
• Hotfix rollup of VSS reliability, scalability, and memory optimization
• Update for Windows SharePoint Services 3.0 (kb 941422)

Database

• Windows 2003 SP2
• Hotfix rollup of VSS reliability, scalability, and memory optimization
• SQL Server 2005 SP2 (if you are running that version)

Also, run the DPM Server on a standalone server because DPM cannot protect itself as it can protect the other servers in your farm.

Read the complete post at http://feeds.feedburner.com/~r/RobinsSharepointBlog/~3/182220436/want-to-use-dpm.html