Hi,
I've had the same problem as you, especially when the deposit had been paid in cash, and there wasn't a tenancy agreement (renting from a colleague...).
Since May I've been renting from a professional landlord: the contract said the deposit would be paid into a Secure Scheme, whatever, but in fact, he didn't pay it in till October 2008 (the letter I received from the DPS stated when the deposit had been paid). In fact, it's only when I started working for the company who runs the DPS that he paid my deposit into the scheme, because he thought I would find out that he had kept my deposit in his savings account, or spent it...
I'm so fed up of dodgy landlords. I'm glad I'm not alone, but it would be better if I could find someone who is honest.
Good luck with your landlord. Keep chasing him.