Just so you know, it can take upto 1.5 weeks for a larger company like DHL to complete a physical search to their insurer's satisfaction. Even then, DHL isn't going to give you crap. The reason is that you didn't ship it (I assume). Dell scheduled the DHL guy to come over and pick up the laptop on *their* account. That means that DHL will deal directly with Dell.
In conclusion, you should be talking to Dell, since they took responsibility for shipping it back to the depot and the subsequent loss.
EDIT: The reason I am telling you this is that the "shipper" for any company (Fedex, DHL/AE, UPS) is the person who account number it is on. I have dealt with many customers who have had this problem, and all I can tell them is that only the official shipper is allowed to explore various options. Dell probably has a standing agreement with its shippers to cover exactly this kind of scenario. So, let Dell know what happened and move forward that way. If they can't find the laptop, they will send you a new one.