What micro-controller are you using? I had the same issue but found out that mine doesnt come with the ISP pins required to connect to the Ethernet shield. It has the slots for the ISP header but doesnt have the pins. I simply soldered pins into the ISP slots and connected directly to the associated pins on the Ethernet shield. This would be located in the back of both the Ethernet shield and the Microcontroller you are using. The connector for the pins is located on the bottom middle of the Ethernet shield. My Micro-controller is a Redboard which is basically an Arduino Uno so the ISP slots were located in the back middle part of the board labeled ISP next to the ON LED.