We are familiar with the network icon in XP that sits in our taskbar and shows the network activity.
In Vista, it gets even better 
If you are connected directly to the Internet, your network icon will look like,
And if you open Network and Sharing Center, you can see how you are connected to the Internet,
If you are not connected directly, may be via proxy, your network icon will look like,
And in your Network and Sharing Center,
You can see the difference between being connected directly and via a proxy very clearly
What if there is some problem with your network and you get Limited Connection ?
No worries, here is the network icon,
And,
And if you want to turn on network activity in the network icon, to see when a small animation whenever data is sent or received, just right click on the network icon and choose to turn on the network activity
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Comment by Lee Kolinsky, on 17-MAR-2008 13:56
Dear Fellow Geeks,
All of the above is true as presented, however, there does seem to be one annoyance I think some people are not noticing. That is that the Windows Vista Network system-tray icon does not animate the same way the Windows XP icon did and in fact the XP animation was better because it communitcated to the user an accurate picutre of the send/receive data flow. One screen for "send" the other for "receive". In Vista, any sort of network activity is simply indicated by one screen lighting, then the other, then both off. I and many others seem to really like to other (XP) animation MUCH BETTER!
--Lee