what brand of usb-to-serial adapter are you using? Are you using the latest driver for that adapter? is it possible you're using a 32-bit driver on a 64-bit OS? or maybe an XP driver under Vista or Win7?
The reason I ask is that historically we have found varying degrees of functionality between adapters. The Gold-X adapter sold by AutomationDirect.com is one that appears to work well, we've had issues with some early versions of adapters made by belkin.
I agree that it sounds odd that DirectSOFT works and DNloader doesn't, but DNLoader doesn't use the DirectSOFT comm server. When the USB-to-Serial adapters first came out DirectSOFT had some connection issues because the adapter drivers didn't go to much effort to mimic a serial port, things like hardware handshake settings were missing from the driver. At that time DirectSOFT took issue with these 'non-standard' serial ports, so we had to relax DirectSOFT's requirements then, and the adapter drivers are now doing a much better job of fully implementing serial port functionality.
Not sure if this helps, but, just throwing it out there ...