If you're plugging the rj11 phone line cable into the correct port, then perhaps the router is duff?
Are you sure that you are setting it up correctly? RJ11 with its ADSL filter from wall socket into router - it IS a modem/router right? - and then router plugs into the PC with the RJ45 ethernet cable.
We need a bit more info about what components you've got and how you are setting them up.