Can I connect my internet to DVR without Cinema Connectin Kit?

I have tried to connect my internet to my only DVR using an ethernet cable, but got an error message saying "unable to connect - no coax cable connected". The first Direct TV rep I spoke with told me I needed to talk to my Qwest internet provider and get set up with "On Demand" service, but when I called Qwest the rep told me I needed an internet connection kit. I was advised to purchase the Cinema Connection Kit through Directv even though the website says I am able to connect with an ethernet cable. I am wondering if it is necessary to purchase the Cinema Connection Kit in order to connect to my internet service and what I would be able to access with the kit?