Double click your “Internet Options” from Windows Control Panel, then they should be shown below (varies with different OS). Select “Never dial a connection” to prevent the PC from using a dial-up connection (e.g. modem).
Click on LAN settings and ensure that no proxy is used. It should look like this.
If your computer has a firewall installed, e.g. Zone Alarm or Norton Firewall, it may interfere with your access to the router.