If the texmf.cnf contains the output_any=p (i.e. paranoid, the default for e.g. TexLive 2010), some tools (e.g. makeindex) invoked by dblatex fail to run, because apparently dblatex uses absolute paths on the command line. This could be fixed by changing to the directory and invoking the tool there with the basename, or alternatively set TEXMFOUTPUT. However, the latter won't work on Windows. See: http://www.tug.org/pipermail/tex-live/2010-September/027246.html.