You haven't specified your Windows version, so I assume it's Windows 7.
First you should check whether the player is connected to the network correctly, or might be in a different subnet of IP range addresses. The network itself should be defined as Home.
Open up the Windows Explorer and click on Network. Tell us what you see and if the player is visible in any way. It might be a good idea to post a screenshot of what you see.
If you have a way of finding out the IP address of the player, please post it and that of your PC. Try to ping the player.
Have a look at the video Usage Guide - How to Setup DLNA on Windows 7 Operating System. Although it is for another player model, it might be useful.
The LG page for HB806TH contains a firmware update : Better check that this version is installed. I also notice that your player can update itself via the Internet.
The above LG page also contains your manual. Although it is very skimpy on details, you might verify that you have setup correctly Nero MediaHome 4 Essentials (page 51). Firmware self-update is described on page 50.