Did you press the button circled to select the applicable device on your network i.e. the WD TV Live? Also note that the app only works for the latest generation of WD TV Lives (and not the old ones).
The app works with my Galaxy S2 and the WD TV Live Streaming in the link above. Check the app information/details within the android marketplace for further information about whether your media player will work or not.
Hi! I had installed WDTV Remote App for Android but it cannot find my WD TV Live Streaming device. Same WiFi home network, same workgroup. WD Link software find it easily. Device have a latest firmware, Android app is latest (running at HTC Sensation Android 4.0.3). Factory reset done - no changes. WDTV Remote installed/ uninstalled twice - no result. Google Play full of similar reviews.
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Solved
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Problem was solved by connecting media player via LAN cable. Other way (through Wi-Fi) no one remote control app have seen the device.