<uses-permission android:name="android.permission.INTERNET" />
in your manifest.xml file. The easiest way to do this is with the eclipse plugin, just go to the manifest's permissions tab.
Of course I totally skipped the manifest section of the dev guide, so I have only myself to blame. Checking through the android sdk site, I did find a section on Building Web Apps, that I had already looked at, that mentions this requirement, although not in exactly the same context.
I really need to read through the entire dev guide. And maybe finish the java trails. And, and, and.