dial-up access? or broadband?
do you have an external modem? or internal (if dial-up)
is the service your using, similar to AOL? meaning they make you run their Internet Suite software. or just set you up with the DUN.
did you install a firewall? did you install a proxy? did you make changes to the IE to use a proxy?
are the DNS servers correct in the networking connection? you might have DNS problem.
running anti-virus?
have you tried shutting down all uncessary apps, then trying to conenct.
do a ctrl+alt+del , shut down everything not needed, all you need to have running is Explorer and systray, should be left in the ctrl+alt+del dialog box.
then try connecting to the net.