Did you try reading the manual? usually things like this are addressed in how to set it up. There is a manual on the cd if there's none in the box. RTFM. And then if you still have problems, at least give us some more details to work with, ISP, connection type, does the router get an ip address, does your computer get an ip address from the router?
I swear, people buy a router having no idea what is going on with computers, and expect it to be perfect plug and play easy...sorry but it ain't