I am on Windows 7 and trying to run perfmon against Windows 2003 and Windows 2008 servers. I am running into the same issue with all remote machines.
When creating a data collector set, I specify a domain account that is in the administrators group on the remote machines (and "Performance Log Users" and "Performance Monitor Users" to be safe). On the "Available Counters" screen, When I type in a remote computer name, PerfMon locks up for a good 2-3 minutes before I can add any counters. I can then save the collector set. However, when I save it, the go/stop buttons are disabled if I click the set in the left panel, and missing if I click the Data collector set itself in the right panel. See the screens below. I can run data collector sets against my local machine with no problem. I am opening perfmon with my local account in both scenarios. I also have Remote Registry Service started on each remote machine. What is going on?
Do you have RPC connectivity between the machines? I believe I've read about this issue with regards to Windows 7 whereby it requires an endpoint mapper of TCP 135 to use high-numbered ports in which to send on traffic. It might also be an idea to check both the hardware firewall and Windows Firewall?
If it is RPC connectivity then perhaps test with PortQryUI. Link: http://www.microsoft.com/en-us/download/details.aspx?id=24009
I hope this helps. Good luck!