I connect my pc right to the xbox and the pc say the cable is unplugged. What could be the problem?

you are not using a crossover cable

http://www.makeitsimple.com/how-to/dyi_crossover.htm

It is a crossover cable.

either it's not a crossover cable, or the cable is messed up, or one of the two network interfaces (xbox or on your pc) is disabled/bad.