|A router itself will not connect you to the Internet. All a router does is take an incoming Ethernet signal and via Network Address Translation, route it to different computers within a network.|
To connect the Linksys E4200 to the Internet you need a Modem, either a DSL Modem or a Cable Modem which then plugs into the router.
The Netgear Dg834G is a router with a DSL Modem built in so you don't need a separate Modem, it already has one.
For some reason I have never been able to fathom, routers deigned to be used with DSL come with a Modem built in. Router designed for use with cable do not and you need a separate Modem.