I just found this: the onboard LAN port is actually fine. I hook it up on my dsl modem, and it works fine. But for some reason, it just can't connect when I hook it to router, unlike the other onboard LAN port I have. To make connection to the router, I have to insert a PCI LAN card to make connection!
And I haven't found the reason.
By the way, the one that cant hook up to my router is SOYO SY -P4I865PE Plus Dragon 2 V1.0
and the one works perfectly is ASUS P4SDX.