I haven't used winuae for a while (and not the latest version), but I recall you may have to check a box to use the bsdsocket.library (in the winuae configuration interface). Have you done this?
I think when I used winuae last, I just checked that box to activate the feature, and didn't have to make any other changes within the Amiga environment to access the internet.
edit- damnit, beat me to it
