Arduino mega 2560 how to connect to the ethernet shield.

What OS are you using? Windows?

Are you using the latest version IDE? V1.0.1 is the good one. Earlier versions had a problem with the w5100 interface.

You can ping the ethernet shield with that ip?
ping 192.168.1.2
...and you are using this URL?
http://192.168.1.2
...and if you power down the shield it no longer responds to the ping?