There are two varieties of Ethernet cables, straight and crossover. Your ISP will tell you which kind you should be using. If there are any connection or speed lights at the cable interface, they should come on when a "live" cable (wired the right way) is plugged in.
To determine which kind of cable you have in hand, closely examine the clear end connector. Inside it, you will see that the eight tiny internal wires are color coded. A straight cable has the same colors in the same order at each end. A crossover cable has two of the four pairs of wires swapped around, so that the colors will not appear in the same order.
http://en.wikipedia.org/wiki/Category5cable