Arduino Fio + W5100 shield - example sketch doesn't work.

I don't know about the rest, but this is wrong.

  1. SPI lines: D10, D11, D12, D13 of Arduino Fio to D10, D11, D12, D13 of the W5100 shield.

You must use the ICSP pins on the ethernet shield. Nothing is connected to D11 to D13 on the ethernet shield. The SPI data lines are only connected to the ICSP pins.