I have tried printing a DHL shipping label and am seeing an error returned:
Validation Error: 420505: The destination location is invalid. Please check the data. 420000: Data error 220001: Failure
The error means that either the town or country are misspelled. You can check the right spelling that is accepted by DHL here: http://dct.dhl.com/
Once checked, please amend the spelling by right clicking on the order and selecting Edit order option.