Step 1: Turn off your computer, router, and disconnect the power to the modem.
Step 2: Connect one cable between the modem and the router's internet port
Step 3: Connect another cable between the router and the computer.
Step 4: Turn on the computer, then the router, then the modem - in that order.
Step 5: Now try running the setup disk.
Explanation: The modem has a security feature that disallows more than one device from connecting to it at one time. Once a specific device is connected, the modem expects that device to be connected at all times. If you unplug your computer from the modem and plug in the router without disconnecting the power to the modem, the connection will be rejected. This probably explains the reason for the error message you were receiving.
Furthermore, you do not need the installation disk in order to install your router. Open your browser and type http://192.168.1.1
in the address bar. A username and password screen will appear, the default is usually admin/admin for both, but if that doesn't work just try admin in the password field. When you have successfully logged into the web utility, you will be able to alter the settings at your discretion. For the most part the router will work upon proper cable connections, however you will want to enable security features to prevent attackers from gaining access to your computer.