When you've set it all up according to those instructions you've posted above , do you know if the router is managing to assign an IP address to the PC?
Click Start / Run, and enter 'cmd' to open a DOS window.
At the command prompt, enter:
ipconfig /all
You should have an IP address of 192.168.x.y (not sure what x and y will be for that router); if it's a 169.a.b.c then the router isn't assigning a proper IP address.
I wasn't sure from the above if you've already checked out all that sort of stuff.
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Also, I just wondered whether the cable your using from the PC to the router is maybe a cross-over cable (could be if it's the one you were previously using from PC to modem)?