As Tim has already said, it is likely that your computer operating system or security is preventing MFP from making an Internet connection. Just because you can access the Internet with another program does not mean that MFP is any way faulty.
Are you using that silly OS called Vista ? It seemed to stop everything from working. Windows 7 can also be a nuisance. Try switching off your security, firewall, antivirus etc and see if you can make MFP work. If you can, it will be apparent to you that your computer's settings need to be altered.
Try right clicking MFP as it appears on your startup menu and run it as administrator, that might work too.