ethernet connection problem

HI
GUYS BADLY NEED SOMEONES HELP.
I BOUGHT ETHERNET SHIELD BUT THE SMALL LIGHT NEARBY THE CONNECTING PORT ON THE ETHERNET BOARD IS NOT LIGHTING UP WHEN I AM CONNECTING IT TO MY MODEM VIA RJ45 CABLE. I DONT UNDERSTAND WHY.
I DONT UNDERSTAND WHAT COULD BE THE PROBLEM.

PLEASE SOMEONE REPLY