Thanks for your help guys, but I fixed the problem. Here's what I did...
1. Install the DPM Agent WITHOUT setting a backup server. (Just c:\amd64\DPMAgentInstaller_x64.exe)
2. After installation, from a command prompt, navigate to: C:\Program Files\Microsoft Data Protection Manager\DPM\bin
3. Run: SetAgentCfg.exe (NOT SetDPMServer.exe)
4. When specifiying backup server I had problems when using the FULL DNS name (i.e. dpmserver.local). After just simply using "dpmserver", everything installed fine!
I'm now working properly.
Thank you for your assistance, I can't give any points on this issue however, as I was able to troubleshoot and solve it.