It will not get a DSL connection (i.e. lights start blinking) until you setup the router to your DSL connection. What I mean to say is that 95% of DSL connection use PPPoE (Point to Point Protocol over Ethernet). This is their authentication system to know that you have an account on their system and thus allocate an IP address and place you on the network. If you don't have a clue as to what I am talking about, then I ask you this question. Were you given a username and a password that you need to type into a piece of software on your computer before you could get to the internet? If you answered "yes", you are using PPPoE and you need to tell your router to use that protocol.
Now to what the other people were saying about cable. They might be correct, but for the wrong reasons. Yes it might be the wrong cable that you are using. Are you using the cable that went from the DSL modem to the back of your PC? If you are you are using a cross-over cable (most likely...look at the both ends of the cable in the same orientation, the colors of the lines should be exactly the same on both ends if it is a patch cable, if they are in a different pattern, then it is a cross-over (or a bad cable
)). But this is the WRONG cable to use connected to the WAN port. The WAN port actually converts a regular CAT 5 patch cable into a cross-over simply by connecting to that port (it does the cross-over in the wires on the port itself), thus it is crossing-over a cross-over cable which equals a regular patch cable, and that is not what you want. Basically you need to use a regular patch cable if you connect to the WAN port (unless the WAN port has an option to not cross-over the cable, some do, some do not).