What operating system are you using?
Share any other programs you have loaded, especially those that like to litter up the system tray and otherwise like to gobble up resources.
Two quick concerns:
I'm running a BAD situation, at least one that isn't normal. I'm running a MacBook Pro 17" with Boot Camp and XP Home. Both OS's are latest. MyDMX works fine.
Disabling wireless can be helpful. Recently, one of my idiot neighbors takes delight in landing on the same wireless channel I am using, so it causes me all sorts of grief. Obviously, they aren't using their wireless for anything constructive. Spammer a-holes, what cna you expect? But, what I'm really addressing is that your wireless may be trying to reconnect and disconnect constantly, which can confuse things and it definately wastes resources. I've recently been lazy and not been disabling wireless and I'm having good results.
As SerraAva says, and I am in complete agreement with, USE DMX cabling. Also, use an OptiBranch/4 splitter, it will boost your signal. I switched from mic to DMX cabling last year and invested more last last year. My only regret: NOT labelling the DMX cables so they sometimes get mixed in with microphone cables. I've used white electrical tape to resolve that issue now. White for lights. So much for low profile, eh? But I think the problem is before the dongle.
Try swapping out for a better FLEXIBLE USB 2.0 cable. Try other USB ports as maybe you got a flaky port. Are you on a USB hub? Is it POWERED?(not passive?)
No terminator COULD be causing problems. I always recommend using one no matter what and it's become part of my standard operating practices. Unfortunately for a while, losing those terminates also became standard practice. I've gotten more careful. When I build, I build in pairs: one to use and one to lose. Now I have a surplus!
Other hints, since people aren't reading them anyways:
For best results with MyDMX, boot with the dongle DISCONNECTED. After booting and BEFORE you run MyDMX, plug the dongle in and wait for it to be recognized and then launch MyDMX. Works fine every time when I do this.
Keep your anti-virus current. RUN and maintain Spybot Search & Destroy(latest) as it is the only spyware killer that actually works.
How do you connect to the internet? If you say directly to your cable modem or ADSL modem(or even an analog modem these days, abusers are getting desperate), then the answer is "WRONG!!!" although with a modem you do have your hands tied. Software firewalls on XP, 2000 and Vista suck and don't work. On 2000 Server and 2003 Server, firewalls CAN and DO work, but you need a real 3rd party software option. Broadband users NEED to use a broadband router to protect their machine from outside attacks.
Also, I've been finding and getting all sorts of grief since installing Internet Explorer 8. I have not had problems with MyDMX and MSIE 8, but ProTools and Sony Vegas Pro hate it, so I had to down-grade. I really didn't care for MSIE 8 being as bug riddle as it is and trying to impose a new web standard tht was flawed upon the universe. That's another place to check. Otherwise, keep all your updates current.