AFAIK, in DX11 depth-stencil testing is off by default. Unless you enable it somewhere else in your application and want to disable it again, you do not need to use a ID3D11DepthStencilState. Just pass NULL in the last parameter of OMSetRenderTargets. Otherwise, you have to create a ID3D11DepthStencilView from your ID3D11DepthStencilState, and pass that to OMSetRenderTargets.
And remember to Release every interface when you don't need them anymore, like L. Spiro said. To fully Release the ID3D11DepthStencilView, you have to call OMSetRenderTargets with NULL (or another ID3D11DepthStencilView pointer) as the last parameter, or use ID3D11DeviceContext::ClearState. So you can Release ID3D11DepthStencilView immediately after binding it, and let the next call to OMSetRenderTargets or ClearState destroy it. I can't remember if ID3D11DepthStencilView holds a reference to the ID3D11DepthStencilState... If it does, you can Release it immediately after creating the ID3D11DepthStencilView from it as well.
Better yet, you should create two ID3D11DepthStencilState/ID3D11DepthStencilView objects (one with depth enabled, one with it disabled) at the start of your program, switch between them during rendering, and then release them at the end.
(Also, don't assign a variable of C++'s bool type to D3D11_DEPTH_STENCIL_DESC.DepthEnable's Win32 BOOL type - can't remember why this is bad).