1. You need to have your network setup correctly, look at the setups XBConnect is compatible with here: Xbox Network Setups
2. You will need to find your console, a couple of steps in this situation:
a) for halo 1, you need to be in system link without creating a game, Waiting to find a game. Do not create a game. For other game instructions click here.
b) go to Tools ~> Find ~> My Console. Click OK to all of the network adapters to search, and say no to the wireles network question
If XBConnect fails to find your xbox you will need to enable WinPcap:

WinPcap Downloads
Windows XP - Winpcap was included in the XBConnect install.
Windows Vista - http://www.winpcap.org/install/bin/WinPcap_4_0_2.exe
Windows 7 - http://www.winpcap.org/install/bin/WinPcap_4_1_1.exe

Install the correct version of WinPcap for your windows version then go to Tools~>Options~>General Options, and check the 'Enable WinPcap Library' option. Then restart XBConnect. When you have returned you will need to find your console again, as per the steps above.

Some antivirus programs block XBConnect as well, you will need to allow XBConnect on your Windows Firewall or just disable itall together.

If under the ping column on XBConnect for all hosts say FW you will need to switch to WinPcap (see above notes).

To host a game you will need to configure port forwarding on your router.

If you are running wireless you will need to run your xbox directly to your pc/laptop via a crossover cable (needs to be a crossover cable). The Xbox 360 does not require a special cable.

The differences between Crossover Cables and regular Patch Ethernet Cables:
a) Crossover cables connect like devices, patch cables connect computer devices to a network device.
b) As far as distinguishing cables, you can usually find it written on the cable itself. It will either say Patch or Crossover. If you can not find the writing on the cable, you can still figure out which kind of cable you have.
c) Hold the ends next to each other and compare the colors of the wires inside the plugs. A patch cable's colors will be in the same order on both plugs while a crossover cable will have two of the colors switched.

If you have any other questions you can ask on the forum or go onto XBConnect's help channel and ask there (just type /help in the main channel).

For anyone with Vista who cannot get the above working. You need to download version 4.1.1 of WinPcap (you do NOT need to tick Tools->Options->General Options->Use WinPcap Library). If you are using an Xbox 360 you may also need to change your alternate MAC address.