I'm not sure if you still need this but if you do or if anyone's having the same problem, here's how I set up Amibroker for the US Market (not just DJI):

1. Have Amibroker installed.
2. Go to http://www.icc-az.com/amibroker.aspx and download amibroker_files-Stocks.zip
3. Extract the content (it's a folder named US-Stocks)
4. In Amibroker, go to File>Open Database. Locate the US-Stocks folder you extracted. This will load around 8000 tickers from NYSE, NASDAQ and AMEX sorted in a (for lack of a better term) nice way.
5. Still in Amibroker, go to Tools>Auto-update quotes(AmiQuote only). This will run AmiQuote. Select Yahoo Historical as Source and input your preferred inclusive dates.
6. Click on the Start Download button on the toolbar. A few hours later, all your stocks and indices should be updated.
7. For succeeding updates, just do step 5 but this time use Yahoo Current as your Source.

For more info, you can check this site -> http://www.amibroker.org/userkb/2008/02/02/us-stocks-database/