On the dashboard go to system settings/network setting/test XBL connection.
During the process you'll see it connect from your xbox360-router/modem-internet-XBL
Now, between the router/modem-XBL connection if you see a yellow triangle then it means theirs a problem with your NAT settings. If you dont see it then your NAT settings are fine.
To change NAT settings......
Its complicated, it involves going into your router and opening some ports. This should help -
http://support.microsoft.com/kb/908874