The lights do turn on at the arduino on the ethernet shield. Power, 100M, link and fullD lights are all on. At the router the lights is on too and I can even see that the port negotiated at 100/Full and the status of the port is up.
I do not have a memory card in this setup. I simply have an arduino uno with an ethernet shield sitting right on top of it. Then I have a USB cable for power connected to my laptop and an ethernet connection to my router.
I have also tried 2 different routers and different cables and different ports. None work for the arduino, yet my laptop can get DHCP just fine on any of those cables/ports/routers.