You need to take that back to the retailer ASAP. If you are a cable customer, you buy a router. If you are an ADSL broadband customer, you ditch your modem and buy a modem/router. Even if it's internal - as mine was - it's gotta go.
You later state "Linksys broadband router"; please clarify your exact model for us, because that contradicts your earlier statment that you bought just a router.