Alright, to knock out a couple things let me make a list for you...
1: Find Device Manger... You can find it via control panel or right clicking your computer and selecting properties
Now look to see what is listed under network adapters, are drivers installed? Do they have a red X or yellow ! over them?
If they are installed and don't have the X or ! then that should be good. You can download the latest driver from the Mobo's webpage if you want though.
2: Click Start -> Control Panel -> Network
Once your in your network folder find the LAN connection. Make sure its enabled, if it is and you have a cord plugged in does it show any type of connection there?
3: With the cord plugged in, do you see any lights on the LAN port indicating it is working?
4: I didn't see anything about trying a different port or cable on the router. Do not rule out the cable even if it's new - things can be defective.