Erm... well when mine wouldnt connect that was because i hadnt enabled sharing. In media player, click the arrow under the Library tab and select "Media Sharing..." from there you can change settings. After that you should have a new process: "wmpnetwk.exe". You should now be able to connect your 360. Note you may have to reboot your 360 a couple of times.
You dont need to worry about buying a wireless adapter, i got it up and running just fine with a crossover cable.
If youve already enabled sharing im not sure what to suggest other than it could be a firewall...
I used to have Norton, i needed to allow the media player network service with that... I now have McAfee and streaming works no problem with it, i didnt even have to allow it.
Good luck