It could be any number of things as the fella above mentioned, are you able to have messenger conversations??
If not, start with the basics, check you cables, if your computer is connected to the router/hub directly, also try a different port on the router if the cables are connected properly, and you don't get a connection.
If is wireless, you got more issues to deal with, and you need to post more information
If the cables and your hub/router seem to be working, then go into the software, and check out the Virus programs and such, see if they are interfering with you connection.
If that doesn't work, and your Virus/Spyware App is working properly, then try looking at your network settings, try simply "Repair"ing your network connection in "Network Connections" - threw Control Panel.
If that doesn't work, post more information again