Sometimes Bachmann "Dcc on Board" locos will return a "DnD" error to the Digitrax Zephyr when attempting to change the factory default decoder address from 3 to something else.
Digitrax support suggests wiring a 12 V bulb across the rails of the programming track. That is, one lead to one rail, the other lead to the other rail. Then, proceed in the normal manner to read and program the decoder's address. I tried it and it worked like a charm!
Other methods include using a 1k resistor in place of the light bulb, using blast mode programming, and using OPs mode programming.