are you shorting out the connector BEFORE you start the car up?
Sometimes the ECU doesnt want to go into diagnostic mode. Just try it a few times having the connector shorted from when the car is completely off. ALso try earthing to the chassis rather than the wire.
You beat me to it.
I would also make sure you have the right terminals (i made that mistake once) and if there hasnt been a cap over the terminals they would get quite dirty, some crby cleaner and old tooth brush should do the trick.