First of all the advice about using teh Networking wizard is goo. There is even an option for Routers. Next are you sure that your cable is straight though and not a cross over used for connecting two PCs without a hub or router.
So make sure you have the right cable and then run the wizard.
f it is a simple cable its not a USB to LAN adapter. Its an RJ45 to whatever the IEEE number is for a SB adapter
Next if you have plugged a simple RJ45 to whatever the IEEE number is for a USB cable, it's not a USB to LAN adapter. Its just a bit of wire with two plugs on. USB and Ethernet are not just different in terms of plug. They have different electrial characteristics and protocols - so without a complex adapter AND software it won't work.
So to recap. Cheack the cable, read the manual that came with your router and run the Wizard.
Terry
March 2006