Do you get a link-light on the USB adapter? Are you using the right kind of cable?

Have you set up ethernet in your house before? If this is your first stab at any kind of an ethernet connection at all, it might be a common "this is my first network" mistake like using the wrong cable, setting the wrong settings, etc. Check out general ethernet troubleshooting tips (for the car player, but most of them apply to this as well) here. Go through those first and then get back to us...