DMX is an easy protocol, but old and at many points open to interpretation. Over the years many variations have appeared. So while you might be doing all the right things, it might still be hard to get a certain dmx device to work.
There's even an oversight in the protocol specification (I believe it was something like the delay between frames being shorter than the delay between the block inside the frame), forcing everybody to deviate from the original spec.
DMX512-A has solved many of the problems and is more versatile, but also more complicated.
If you only have a few DMX devices available it might be more fun to work with a digital RGB LED strip. http://www.ladyada.net/product.....index.html
I haven't looked into the protocol of the LED-strip (yet) but I expect it not to be very different from DMX.
You'll have 32 RGB LED's per meter to control, which I personally find much cooler than a single moving head. And it's more high-tech compared to the 25 year old DMX.