I think if you are using the WPS thing to connect the two (which it sounds like you are doing), you need to press the button on the back of the WNCE2001 as well.
They are good units, I have two myself, but I prefer to configure the security myself so I didn't use the WPS facility myself.
In case you don't know, WPS is a system whereby two devices can connect to each other and set up a secure connection automatically.
To use WPS, connect the WNCE2001 to both it's power and via Ethernet to the device you want to plug it into. Press the button on the back until the WiFi light flashes red/green, then push the WPS button on the router.

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