ok go into settings and then WiFi, and then click the blue > symbol to the right of the connection. Look at your IP address. If it starts with 169.xxx.xxx.xxx, then it failed to pick up an IP address from your wireless router. Use the "Forget this Network" button and try connecting again.
Once it says you are connected, open safari and go to a normal website. if that works, then try again.
Now here's a big obstacle that might be in your way. If you are on anything other than firmware 1.1.1, you cannot jailbreak through the
www.jailbreakme.com website.