|I am trying to set up the above wireless router and I can't even get the power LED to come on.|
Without plugging anything in to the router, plug in the power adapter. If the power light does not come on, your router is bad. Take it back in to the store you purchased it from, with the bill of sale, and they'll replace it.
While I've never used the CD to install anything for a router (I just connect the darn thing, look up the management interface IP and connect to that to finish setup) I suspect you have to have it connected to the internet and your PC/laptop connected to a LAN port before you do anything else.
It seems to me it would be pretty hard to setup a router when you're not even connected to it....