Are you using this to connect to a cable modem or router? Sometimes when connecting to a router, a special crossover cable is needed. Such cables are usually provided with the router.
[PC] -> crossover cable -> router -> reg CAT5 ethernet cable -> cable modem.
Also be sure you don't have a cable plugged into the router's "uplink" port.
-What OS do you use?
-What brand and model of Modem and/or router do you have?
-What brand PCI card did you buy? Do you know what chipset it uses? (realtech, texas instruments, etc...)
-Does the PCI/LAN device show up in Device Manager?
-Does the little light on the backplate of the card turn on/flash? What about on the modem/router?
-Any specific error messages?
*** Have you tried disabling Windows XP's built-in firewall to see if it might be the problem? - it is disabled by default in Pre-SP2 versions, and enabled by default in SP2***
While on the subject of firewalls, I would recommend using a 3rd party firewall, people here seem to favor KERIO. I would advise against Norton/Symantec and ZoneAlarm (resource hogs and incompatabilities).