Make sure your DODS_ROOT environment variable is set properly. It should points towards the DODS top level directory. For instance, if you expanded the DODS binary release tar file in /usr/local, set DODS_ROOT to "/usr/local/DODS";.
If you are running the GUI from within the $DODS_ROOT/bin/matlab-gui directory, make sure PATH includes the current working directory (i.e., '.').