Unlike WinXP, Win98 needs drivers that are not "built-in". Your modem needs drivers from the manufacturer of the modem. There are no administrative functions in Win98. If you are trying to connect via the other computer (WinXP), that is the one that is asking for "Administrator", i.e., the WinXP computer won't allow the Win98 computer to access it without you giving it the password (for the WinXP computer).
If your Belkin is a wireless router, you should not have any problem connecting to the router. I have a wired router, just plug in and go.