Local Area Connection - Unplugged (Slow / dead Internet)

I have an ADSL connection used for 2 years with a Linksys wireless router used with a Mac on wireless with no problem. Got a new Dell Dimension C521 and connected by ethernet to router. Worked great for a while (nice and fast), but now (3-4 weeks later) get a pop-up in XP that says "Local Area Connection - A network cable is unplugged'. But not true. Internet connect is slow to the point of unusable, everything times-out.

Running McAfee security (it is a Dell) but everything works fine with the Mac on wireless (doing this on the Mac as the PC can't connect to save itself). Any suggestions as to the error message and why the gradual slowing of the PC's internet connect?

Appreciate suggestions