Ha ha ha, I can connect to internet now!

The trick is, do not install firewall, that's it.

Well...
The thing is Linux is a very stable and secure system to handle network connections. So why not use them? I´d recommend you to learn a bit and try to understand how Iptables works to create your own rules. And test them so they do not conflict with your network access to the internet, which probably was happening...

in firewall setup, at the bottom there,
chose your DSL connection to ppp+, NOT eth0,
and enter internet connection wizard to setup ADSL connection as usual, restart linux, go to console,
type adsl-start, launch your browser, it works in my system.
I'm using Mandriva2005.

I'm very very happy now, i feel that the internet runs faster in linux than in windows.