An IP Address of 0.0.0.0 means usually one of two things:
1) Either the low-level link is not established. Please check the small LED's on the RJ-45. With the unit RJ-45 "plugged in", one LED should be lit all the time, and the other should blink occasionally. If you are not getting this, the connection issue needs to be dealt with before an IP Address means anything. The LED's are dim in broad daylight, otherwise they are blinding in pitch darkness.
2) Or, the unit is configured to be one a network (DHCP client), and DHCP has not timed out (30 seconds). When your computer and unit are both asking for IP addresses, thinking they are supposed to be on a network, but there's no DHCP server, they cannot communicate. You can plug the unit into any network/router the computer is connected to (doesn't matter if the computer is connected via WiFi or cable).
If you have a low-level link, and want to direct connect to the unit, wait 30 seconds for DHCP to timeout, and verify that you computer defaults to the link-local subnet (computer IP address = 169.254.xxx.xxx). This can be checked using "ipconfig" in a DOS window.
There are other ways to configure the unit (or the PC) to allow them to "direct connect", be on the same sub-net, without waiting 30 seconds. This can be a continuation topic if needed. Please verify 1 and 2 first to make sure the unit's Ethernet is working.