Step 1: Setup
Note that the Ethernet Shield sold at Radioshack is online compatible with Arduino Uno Rev. 3 boards (or later). It has too many pins to plug into earlier version Arduino boards.
Step 2: Shield Features
It relies on the Arduino Ethernet library, which comes bundled with the development environment.
There is also an on-board micro SD slot which enables you to store a heck-of-a-lot of data, and serve up entire websites using just your Arduino. This requires the use of an external SD library, which does not come bundled with the software. Using the SD card is not covered in this Instructable. However, it is covered in the Step 8 of the Wireless SD card instructable.
The board also has space for the addition of a Power over Ethernet (PoE) module, which allows you to power your Arduino over an Ethernet connection.
For a full technical overview, see the official Ethernet Shield page.