SurferTim:
The connect function time is dependent on the server, but even it doesn't block if the connection cannot be established.
Yup, that's my point =).
As i said, a simple LED that stays ON in a specific color during the server's connection actually works, but i would like to get something more catchy and explicit like a circle of LEDs going ON and OFF more or less like a good old spinning.
This is impossible to do with the standard Ethernet Library. Or i have to fake it by doing that after the connection 
As you're trying to make me understand, this is really not a big deal and I could do without that, but i'm curious and I'd like to get this lib working and understand what I am doing wrong =).
It's always more interesting to learn why we're stuck at something than getting around the problem, i think.
Thanks for your answers 