Hooking Xbox 360 up to live...?

I just got a 360 and would like to hook it up and play live. I got an Ethernet cable and pluged it into the Xbox and motum and do everything correct...I think. When I power it up and try to connect to live it says it can't connect and it also says to check my network MTU and make sure it is set to auto. I checked all that out and it was already set to automatic, but the Xbox still won't connect to live. Does anybody know what I can do to make it work?