Ok Angel now we know you have a telephone line.
The USB thing you are talking about, that is, I think, a Wireless Adapater, it will make any machine capable of recieving a wireless signal.
Ignore that for now.
You said earlier that you have an ethernet cable. Turn off your PC, turn off your new Router.
Plug the cable that comes from your Telephone line (from the Microfilter) into the back of the Router. It will only fit in one place.
Then plug an Ethernet Cable into slot number 1 of the Router. This is your first ethernet port, then take that cable and plug it into the back of your PC, unless your PC is very very old, it will have an inbuilt Ethernet port. Tell us if this is the case.
Once you have done this, turn on your Router.
Once ALL the lights on your Router are on (Your Internet Light may not come on, but you should have an Ethernet Light and an ADSL light and both of those should be on, if they are not, let us know. then turn on your PC.
You should now have some sort of a connection, but no ADSL connection as your Router cannot connect as it has no Username or Password.
Once your PC is on, open Firefox/IE, type in
192.168.1.1
You may have to check your manual or paperwork, but that is usually correct.
If it is correct, you will get a page that introduces you to your new Router, it will have various different pieces of information but one of them will read something like:
ADSL Connection
Click on that. It should take you to a page where you can put in your Username and Password. Do so, it should be amongst your paperwork.
Now you should be able to connect to the internet through the ethernet cable and your new router.
Let us know if it doesn't work.