I am thinking about buying an Aurdino ethernet shield, but I am not sure what it connects to. On the back of my iMac there is a blue plug which goes into the computer, which I think is the ethernet plug. Would I just plug that into the ethernet shield?
Number 2 is the ethernet port.
On the left is an Ethernet port and the right a Modem/Telephone port.
In order to connect with one wire you need to use a Cross-Over cables and set IP addresses in the same range for both devices! 192.168.x.x; 10.0.0.x .. etc. (or set your mac as a DHCP server)
If you don't want to use the cross over system then you will need a router that has a DHCP server and assigns IP's to each device automatically. And then check the Router on its ARP table what the IP of your Arduino Ether shield is for communication.
If you have a newer airport then you can plug the Arduino Ethersield into any one of the free ports on the Right Side
If you have an old airport then you will need to get a switch and remove the Blue cable form your Imac. and plug it into the switch. Then get 2 new cables and connect your iMac to the switch and the Arduino EtherShield to your Switch.
Here are some setup examples
An ethernet port looks similar to a phone line port. What you're talking about most likely is the ethernet port, however, the shield is to allow your Arduino to send/receive internet communications. You'd be more likely to install the other end of the cable to an open slot on your router or modem.
You can do that, provided that the ethernet shield auto-switches. If not, you have to connect your Mac and Arduino to a switch or hub.
EDIT -- like ppumkin says, you can also use a crossover cable. I don't know how I forgot about that solution. :)