Try the following:
Click Start -> Settings -> Control Panel -> Network Connections
This should bring up a menu listing all of the current network devices that Windows knows about on your computer. You should see one called Local Area Connection. Click on it, then click on the Properties tab.
In the next window that opens, you should see two check boxes, one labeled "Show icon..." and the other "Notify me...", check them both.
Next, locate the Internet Protocol (TCP/IP) line in the "This connection uses..." window, highlight it and then click on the Properties tab. There are two options that Windows allows, one is "Obtain an IP address automatically", which requires that your router is setup to act as a DHCP (Dynamic Host Control Protocol) server that assigns IP addresses. If this option is not checked, try checking it, then click on OK. If it isn't checked, make sure that you write down all of the settings that are listed under "Use the following IP..." and "Use the following DNS...", you may need them later. Then on OK to close the previous window.
You should, after a few seconds, see the little two computer network icon in the taskbar. If it appears, hover the mouse cursor over it and see what the tooltip text says. If it says that it's looking for an IP address, and the message stays saying that for more than a minute, then your router almost certainly isn't set up as a DHCP server and you will have to go back and set the IP address values manually. You will need to know the IP address of your router on your internal LAN (not the WAN IP address that you get from your ISP), set this as the Default gateway value.
Good luck...