Does the router have some sort of webbased administration tool?
The default is often 192.168.0.1 so if you fire up a webbrowser on any computer on your network (assuming that your wireless router is plugged in and connected by wire to a computer) and goto
http://192.168.0.1 then you'll get an administration page, since you'll need to edit settings to get it to work.
If this doesn't work, then try pinging it. Open up a command prompt (start-> run -> CMD in windows XP, start -> run -> command in 98/ME) and type ping 192.168.0.1. You should get some replies if it's up and working.
If your wired router is plugged in at the same time, then there might be a conflict since they both might be setup to use 192.168.0.1 as their LAN IP address. Try unplugging the wired router and then try the above again.
If all this fails, then it might be a dud unit and should be sent back from whence it came!
Post back here with your results...