How to "see" what is going on with the board?

I ama noob, so please excuse- I have the arduino 21 application, and arduino Mega and a new EtherShield SD with Wiz chip. after i upload my sketch, how do i see any out put from the ethernet connection? The Network cable is plugged from the Arduino to my linksys router, but the sketch is not working, so how do i see what it is doing or not doing?

Debug prints?

You can see what the output should be by also printing the output to the serial monitor. To see what actually gets sent you would need a client to display the what is sent or maybe some type of ethernet sniffing application.