You have the patch cable running between your modem and router's lan port right? After that unplugg both the router and the modem for a few minutes then plug them back in.
Do you have cable or dsl? If you have DSL then you will need to enter your user name and P/W into the PPPoe section of the router.
Like others have asked are you able to connect to the router with the internal IP that is in your manual? There are different ones for different routers, but it should be something like 192.168.1.1 so in your brower type http://192.168.1.1/
and get the default username and password from the manual.