Hmm sounds like thers no connection between your router and the internet, not the internet and the computer.
With your router plugged in and fully set up,
Click start > control panel > Classic view if not already > network connections.
Find your local area connection the modem is connected to (should only have one) and right click it and click
Status.
Then select the support tab,and note down what your default gateway is.
go into your browser of choice, and type http://"default gateway here" (without quotes)
So for instance mine looks like
http://192.168.1.2
and then you should be met with a login page, if you can get there, there is nothing wrong on the connection between the router and computer. if you know your username/password go ahead and login and see if it tells you its connected to the internet. if not...try "admin" in both boxes without quotes, or admin for your username and password for your password...if that doesnt work try find the manual for your router to tell you what the default ones are.
However if you dont even make it there...then something really wierd is goin on so goodluck!
Kurtis