Digital Performer 4.1 uses MachFive and other virtual instruments differently than earlier versions of DP. Now, instead of inserting MachFive as a plugin on an Audio or Aux track, create an "Instrument Track" from the Project menu's "Add Track" list.
For more information on Instrument Tracks in DP4.1, see the "DP 4.1 Update notes.PDF" provided with the DP4.1 updater.