To prevent a conflict between Net Nanny and that program, you will need to add it to Net Nanny's list of permitted applications. To do this, go to your Net Nanny Settings => System Settings, and click on the "Permitted Applications" icon on the left. Click "browse". Search for any executable files (they will end with .exe) for that program. Add these to your list of permitted applications in Net Nanny.

Also, make sure that you've selected "Permit All" under the heading "Permitted Applications" in Net Nanny Settings => User Settings => Your user account => Applications tab.