I just got a 46" Bravia 3 days ago and had the same problem. This is how I got my internet connection.

I have an iMac which connects to my Charter cable modem, I also have a wireless network set-up via my Apple Airport Extreme. I thought that my Sony Bravia would be able to connect via my wireless network at first, but once I set up the Bravia it could not detect the wireless signal.

What I had to do was directly hook up my Bravia to my wireless router (Airport Extreme) using an Ethernet Cable which basically looks like a telephone cord. To do this I ran one end of the Ethernet cable into the back of one of the LAN ports on my wireless router, I then took the other end and connected that to the LAN port on the back of the Bravia and bingo, It was able to find the connection when I went back into the Sony Network Settings.

I had to use a 50' Ethernet cable because I had to drill into the floor and back up again because my Sony is in another room, but you can really get any size you need -> http://www.tophdtvpicks.com/?hdtv_keywor…

If you don't have a wireless network check the back of your cable modem and see if you can locate a LAN port. If so try that.

Hope that helps you get the connection you need?