The LED has changed pins on that board. This is from the hardware reference page:
LED: 9. There is a built-in LED connected to digital pin 9. When the pin is HIGH value, the LED is on, when the pin is LOW, it's off. On most other arduino boards, this LED is found on pin 13. It is on pin 9 on the Ethernet board because pin 13 is used as part of the SPI connection.http://arduino.cc/en/Main/ArduinoBoardEthernet
The ethernet part should initialize like any other Uno/Ethernet shield. Try the test from this post.http://arduino.cc/forum/index.php/topic,132379.msg995799.html#msg995799
Insure you change pin 8 to pin 4 in that code for your model. That device has the SD card on pin 8, and yours is on pin 4.