Should I return my WD Live? It won't connect at all!

Well it is of course your choice to return it. But if you are willing to give more information you may get some help. As already asked of you. Give meticulous details of your network setup. In other words, please say how the WD TV Live is “connected” to your network a cable or a WiFi dongle on the USB port. Then if you have a router, how is it setup; some routers have Mac Address filters that only allow devices they know to obtain an IP address. Is your router set with a password to prevent others to use you network? What brand is your router?  The more details you give the better we can help…  Al