Cisco 2514 router

I have a Cisco 2514 router I’m using to learn more about routers and such. I’m stuck in the chutes. I have the router connected to my NT 4.0 w/SP5 server via the RJ-45 Roll-over cable and COM port is configured as it should be, but when I turn on the router, nothing happens on the server console. Am I not suppose to see the system configuration dialog screen? Any help at this point is greatly appreciated. Thank you.