You are not connecting to the internet. Check your connection settings:
Start>Control Panel>Network & Internet Connections>Network Connections
Click on your connection and press dial or right click and press connect - this will test your connection.
If no joy:
Start>Control Panel>Network & Internet Connections>Set up or change your internet connection>connections
Highlight your default connection and check your settings (provided by your ISP)username/passwords etc
Does your modem also have diagnostic software you can use?