Presumably you have connected to the router with an ethernet cable for the initial configuration? If so, try giving the "Local Area Connection" a fixed IP address in the same range as the router. For example:
IP address - 192.168.0.2
Subnet Mask - 255.255.255.0
Default Gateway - 192.168.0.1 (the router's IP address)
Also, if you have Firewall software installed, either temporarily disable it while configuring the router, or add the router's IP address in the "trusted" area.