Hmmm
I've not connected up directly via my modem before in Ubuntu (or nix for that matter), but the command to check what interfaces are available in the terminal is
sudo ifconfig -a
Is your connection PPPoE? How did you configure it? I'm guessing you have done something as you mention u tried the same config as on the XP PC... If it is PPPoE below is a howto....
http://ubuntuforums.org/showthread.php?t=82879
Have you configured a firewall?
Check with
sudo /sbin/iptables -L
(has to be a cap L)
*EDIT*
If a command doesn't work I might have pathed it wrong, or its not in your search path. To find the full path you use
whereis {command without the brackets}
Any security nut, errr I mean security concious nix person will tell you that you should always use the full path to prevent yourself from being nailed by a trojan.