Make sure that you are using latest version of the Zeus smart string utility from the wiki.
Do the yellow and green lights on the MagJack light up OK and do they flash faster when transmitting data? If not, there may be an issue with your Ethernet connection or Windows may not be allowing it to connect.
If the Ethernet connection is OK, you could have an issue with the Etherdongle or the Zeus. Have you used the Etherdongle with any other hub? Do you know that it works?
Some pictures of your setup and possibly a screenshot of your settings in the smart string utility may help.