Getting your network running with your distro can be a bit of a fiddle the first time around, but stick with it.
Need some more information to determine the problem:
How are you connecting to the WWW (LAN, USB Modem, Dial-Up etc.)?
I don't know what the file is your provider is trying to get you to install. In my experience when an ISP tells you to download some piece of software it's usually totally unneccessary when you know what your doing. I wouldn't worry about that for the moment, but it would still be useful to see the exact error message.