In order to take advantage of DenyHosts, you must ensure that your sshd server has been compiled w/ tcp_wrappers support.
On most Linux distros, sshd has been compiled with tcp_wrappers enabled. If you are not sure, a simple test follows:
Login, as root, to your Linux system containing the sshd server.
Edit the file, /etc/hosts.deny
Add the following:
$ sshd: 127.0.0.1
Save the file
Attempt to connect to the local sshd server:
$ ssh localhost
You should see the following ssh error message: ssh_exchange_identification: Connection closed by remote host
If the above error message was displayed, then sshd has been compiled with tcp_wrappers
If your client connects to the sshd server, then your sshd has not been compiled with tcp_wrappers
Edit the file, /etc/hosts.deny
Remove the line that you added earlier (eg. sshd: 127.0.0.1)