Arduino Shield Collision LED flashing

Development Tools IDE 1.x
1

Hi All, Just bought my Arduino shield (HanRun HR911105A) and it says "compatible with MEGA") and tried to follow one of the videos on youtube.

However, the moment I connect the USB cable to the MEGA, the LED near the Aref starts flashing, Power LED is steady. When the RJ45 is connected to the Shield, the Collision LED starts flashing.

Here is how I connected. One end of the RJ45 cable goes to the free port on the wifi router, the other end (straight cable) to the RJ 45 port on the shield. The board is plugged in the right manner. I am using a Arduino MEGA.

Am I doing something wrong ? How do I get it to work ?

thanks,

Madhav