First, congratulations on making the step to learning Linux. Ubuntu is a
great starting point because it has the most help. It is NOT the most newbie
friendly. Red Hat is for servers and Ubuntu is for desktops, although there
is a server version. I am assuming that you are using the desktop version
and that you are using the latest stable version 9.10. If this is wrong
please correct it.

Linux in general takes a different approach to security than Windows. A
frequent complaint about Linux is that everything just works in Windows.
People forget that they needed to supply device drivers by inserting a disk
or having Windows search for them. My netbook in Ubuntu connects to my
wireless without my doing anything. All I needed to do was set it up first.
It is in two parts. You need a driver and to set up the connection.

In Linux most drivers come from the kernel and they often do not require you
to search or install them separately. However, there are many wireless cards
and all having varying degrees of support for Linux. Broadcom is the worst,
but some are quite good. You do not say how you connect to the internet. I
am assuming that it is wireless.

Do you know the make of your wireless card or dongle? If not, open a
terminal in Ubuntu (in the menu go to Accessories, Terminal or press alt+F2
and type terminal in the box and press enter). In the terminal window, type:
lshw

It will caution you to use sudo, but ignore that. Scroll back with the
scroll bar and look for the section headed *-network. You can copy that by
highlighting with your mouse and clicking on Edit, Copy in the menu. You can
then paste it in your messages to us. Please don't copy the whole thing.

This section will tell you the vendor. If you see the words UNCLAIMED it
means that your card was detected, but there is no driver installed. You can
try to find a driver using System, Administration, Hardware Drivers in the
menu. If it does not say this and hardware drivers says that a driver is
Activated with a green button, then you have a driver.

Next you have to set up your wireless connection supplying your network
information including security keys (WPA, WEP, etc.). You would have had to
have done this at some point in Windows, but probably have forgotten. Unless
you aren't using any security in which case you have a bigger problem. You
can do this by right clicking on the networking icon in the system tray (top
right). I am in KDE and Ubuntu uses GNOME so it is different wording. Mine
says Manage connections (I am wired). It could say manage Wireless
connections. There will also be a check box that should be checked to
enable wireless. If anything is greyed out it is an indication that you need
a driver.

If for some reason there is no Linux driver for your card, then you can use
a Windows driver, but you will have to install two applications in synaptic
first. I won't go there yet as we don't know this is the case at this point.

For future reference, whenever asking for help it is good to provide as much
info as you can. In this case we needed to know whether it is a wired or
wireless connection. The make of the wireless card is more important than
the make of the router. Routers don't care what the OS is. The problem is in
the computer with the connection. You can get this info in Windows by going
to Hardware, Device Drivers or in Linux using lshw (list hardware) in a
terminal.

I hope that this helps. Others can feel free to chip in. I have an easy
wireless card to set up and have never had a problem. That is not the case
for many, especially those with Broadcom cards. Please be patient. If it
comes to it, you can usually connect with a wired connection to download
anything that you might need in the way of drivers or applications.

Many users swear by wicd (pronounced Wicked) over Ubuntu's own network
manager. I have used it, but network manager works well enough for me. It
can be installed with Synaptic, but you need to make sure your driver works
before doing this.