Then install the client using the setup.exe and clientsettings.cfg and masthead all in the same folder and that folder must be the current working directory. Are you setting the
_BESClient_RelaySelect_FailoverRelay setting to the DMZ relay? Does the DMZ relay require authentication? are you providing the authentication password?
As soon as the client is installed using Setup.exe and clientsettings.cfg you should check the windows registry to see what client settings are in effect and if they are the ones you expect. On x64 Windows, you should be looking here:
You could stop the bes client service, change the settings in the registry, then start it again and see if that works as a troubleshooting step. If you use the bes remove utility, make sure the registry settings are also deleted.