It can be rough getting the board working the first time. I had very much luck following these steps outlined here: http://www.sparkfun.com/tutorials/158
Can you try that terminal program and let us know what type of responses you are getting?
Best of luck,
That is the Wifly shield, not the official ardiuno Wifi shield.
After unboxing and plugging in, I never had any problems running the examples on the Wifi Shield. Would you mind posting your code?
Also, do note that the shield doesnt support WPA2, only WEP and WPA