|First question would be can you enter the router admin interface when you connect from router to PC?|
If that is successful then you know the problem is with the connection or settings between modem & Router.
The first thing to do in that event is power down the modem, router and PC.
Connect the cables between modem/router and router/pc.
Power on the modem. Wait 1 minute. Power on the router. Wait 1 minute. Power on the PC. If the router does not auto-configure the WAN settings it may be that your ISP has registered the internet service to your PC's mac address. You may need to clone the PC mac address in the router for your ISP to accept the router connection. The other thing that might be happening is the type of cable you are using. Connection from modem to PC is a "straight" or Patch cable. When you connect two "Like" devices such as a modem & Router the connection requires a crossover cable. Modern routers however may be equipped with cable-sensing self adjusting ports and the power-cycling detailed above should allow the port to adjust for the cable type in use. It should not be necessary to install anything from a router disk since they are pretty much plug-n-play.
What you may need to look at is the configuration page for the WAN settings in the router. Some ISPs have specific requirements and a call to their tech support may aid in getting you set up correctly.
Goin' Fishin' (Some day)