Setup wizard doesn't locate wireless router.

I had to change internet provider, so I had to get a different modem. The router stoped working, so I tried the setup disk the came with the router. I hooked it up like it said exept is says to connect the modem to the router with blue cable (I don't have). I used a regular ethernet cable instead and don't know if that could be a problem.

The problem is I go through the setup wizard and try to save my settings it wont let me. It says "The setup utility was unable to locate a wireless-g broadband router on your network. Please make sure your wireless-g broadband router is powered on and all cables are properly connected." It all hooked up right and the lights are on.