The first thing to check is the power, lights and connections. Refer to your manual for lights or status information if necessary. If you're running Windows, a restart is often the best thing to try.
Another thing is to 'ping' a known server, such as Google. Open the MS-DOS prompt, type ping google.com and press Return. (Note: Make sure the server you attempt to ping responds to ping; many servers do not any longer, and you should not mistake this for a network problem.) If you cannot ping the name of an IP address (it might hang or fail with cannot resolve hostname errors), ping a known, valid IP address. The IP address of your local ISP is a logical start. If you can ping one of your ISP's IP addresses, then you know it is not your DSL line. If it is your DSL line, call your ISP.