I'd suggest you get an ethernet cable such as
this of sufficient length to reach the modem.
You can then use this to test your connection with the modem before introducing the router into the equation.
Once you've got broadband working, you can set up the router by connecting to it wired. After this plug in your USB adaptor & try to connect wirelessly. Once OK, set up your wireless security & put the cable away for a rainy day...