In addition to ensuring that you're tuned into a VORDME (not just a VOR), there are also two switches on the VHF NAV panel that control the respective DME transmitter/receiver. These must be set to DME in order to receive a DME frequency.
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Also, if the GNS430 GPS or UNS-1 FMS are fitted the DME readout on the HSI will indicate the distance to the active waypoint instead of the distance to the VHF NAV 1 navaid. If the GNS430 is fitted, toggling the CDI button from GPS>VLOC will allow for the distance to the VHF NAV 1 navaid to display, and if the UNS-1 is fitted toggling the NAV/GPS selector from GPS>NAV will have the same effect.
Hope that helps.
Mark - Just Flight