I had that once too, like Fearless said you could try to turn of any firewall, and specially software firewalls like Zonealarm or Northon Firewall.
If you dont know how to turn of the firewall from your router, check the manual. (mostly its a program or something to turn it off)
If you dont have a manual, or just dont know how to turn it off, you can try if you can connect directly with the modem.
Make sure youve disabeld any software firewalls (if you have any) by rightclicking on the icons and exit them.
If its possible and your UTP cable has enough length, try to input your cable directly to the modem, and try it again.
If you dont understand this, please ask first. :tup: