Setting up wireless network

Does anyone know if you have to have some sort of software to setup a D-Link DI514 router?

Also, I have followed step by step instructions from the following link (http://www.microsoft.com/windowsxp/using/networking/setup/wireless.mspx)on how to setup this network and for some unknown reason I cannot connect to the internet. I setup everything as instructed and I connect and power on in sequential order. I have no idea what I am doing wrong. Any ideas???

 

Here is some info on your router with links.

http://www.fixya.com/support/p277745-d_link_di_514_wireless_router_di_514