I also have this problem with both the DVD (purchased), the CD(purchased) and a CD downloaded from ftp.kernel.org.
The computer gets its private IP address from my router, and I can ping the router. When I ping an external web site, the DNS resolves to the correct IP address, but the ping response is never received. I have also tried to enable the firewall and then disable the firewall. My 4.0.2 CD operates properly on this computer with its Intel 865 PERL motherboard's ethernet interface.