Most routers these days come with a web interface. Once connected and you are seeing activity on the router itself. Go to a Command Prompt (Start->Run->command), and type ipconfig and hit enter.
Verify that you are getting a valid IP address (192.168.xxx.xxx). If you are, then in a web browser, go to what is listed as the default gateway (usually 192.168.1.1) and verify that you can get to the web interface. You may need to make sure that the router is getting an IP address from your ISP.
If you continue to have trouble, then look through the manual for a method to do a full reset of the router back to its factory defaults. There is a chance the router was pre-configured incorrectly out of the box.
Hope that helps!
Ariston Collander
ariston@coxcomputer.com