Ah, Xbox networking...got to love it. Tell me do you use a router?
Have you tried connecting your Ethernet directly to your modem?
Yes, I use a router. I have tried plugging it directly into my modem, but I got the same message.
Also, are there any link lights activated on the router/switch port that the Xbox is connected to?
The link light doesn't go on, on the router that it's plugged into.