What version of client?
What precise options were chosen during installation, if any?
If you installed as a SecuRemote client, DNS won't work unless the gateway is configured correctly, see: https://community.checkpoint.com/t5/Remote-Access-VPN/Quick-Primer-on-How-to-Configure-your-Gateway-...
If you installed as either Endpoint Security VPN or Check Point Mobile, you should have been assigned an internal DNS server on connection unless there is a misconfiguration somewhere.
If you installed as SecuRemote, try reinstalling as Check Point Mobile instead.
If that doesn't work, you need to work with whomever maintains the Check Point gateways you are attempting to connect to.