Ok, obviously you configured your network card to connect to the router (you did enable WEP or WAP Encryption- right?) Just follow along and see what you missed....or may have missed.
1) Did you connect the correct CAT5 wire to the router? You should have a phone line or coax cable going into your modem, a cat 5 (network wire) going from the modem to the WAN port of the router.
2) If you have DSL, most carriers use PPOE. If so, the router (if its not in gateway mode) must be set up using your ISP's Account information. (ie username/password) Usually on the index /first page of the router logon screen, there are settings that need to be configured. You usualyy have a drop down box where you can choose PPOE (or whatever service you have). If you choose PPOE, the username/password boxes should appear/become active.
3) If you are using cable, then most need the MAC address of the PC to be cloned before you can connect. Somewhere in the router, (depending on your model) , there should be a "CLONE MAC ADDRESS setting. Enter (or hit the clone button if you have it) and apply the settings. The route should be in gateway mode. MAC addresses can be found in the hardware settings of the computer.
4) Are you connected. but not receiving an IP address fro the router or ISP?
-Go to RUN, type CMD. At the command prompt, type IPCONFIG /ALL You should see all your network connections. Find the one that is your wireless card, and see if the ip address is something like 192.168.xxx.xxx or similar. It should NOT be 0.0.0.0, which means you did not receive an IP address from the router.
-If you did not receive an address from the router, at the same command prompt, type IPCONFIG /RELEASE then IPCONFIG /RENEW. Check to see if you have an address now, retype IPCONFIG /all....do you have an ip address now?
-If not.....Open your network card connection. Go to Properties, double click TCP/IP v4 (you may have V4 and V6). Choose obtain IP address automatically and obtain DNS automatically. Hit OK, close out the properties. Do an IPCONFIG /RENEW again.
5) Finally, go back into the router, and see if you have an ip address assigned by your ISP. You can usually find it in the status page (usually the last page of the router setup) You can also see your ISP connection status (ie connected/disconnected) . If its disconnected, try to reconnect by hitting the CONNECT button,or restarting the router. If it still doesn't connect, see #1,2, or 3 again as it is a setup issue, and/or call your ISP for the correct settings to place in the router.
Unfortunately, you didnt give us enough info on the type of service, nor router make and model, so these are general instructions. Lastly, are you sure that the router is compatible with your ISP service? (although most are) and you actually PAY for highspeed Internet service (DSL/Cable most common) LOL. Please..no offense intended...I have had people buy a router thinking that was all they needed, and didnt have an ISP account!
Good Luck..let us know how you make out.