Right click My Computer.
Select Hardware
Select Device Manager
Look for Network Adapter.
Is it is missing or has a yellow exclamation, then the NIC drivers have not been installed.
If the Network Adapter shows up fine, then create the Internet Connection as follows (one method):
Start > All Programs > Accessories > Communications > New Connection Wizard.
The wizard will lead you through the process.
In the end you will be asked whether you want to create a desktop icon, opt for yes.