Is your firewall blocking you for some reason?
Thank you both for your suggestions.
Yes, I have a firewall turned on always (Windows XP Firewall).
And the light on the modem is green - I tried another Ethernet cable and that didn’t solve the problem.
Since I had the firewall turned on, wouldn’t it be hard for someone on the outside to create a VPN to my machine?
I’m not even sure the VPN attempted connection is related to my problem, but it seems it could be.