Your Modem is USB. Does that mean it gets it's power from the USB connection? If so, the modem will only work if the Router can accept a USB connection AND also provide power for the modem through that USB port.
The modem you link to is 802.11b. Are the dongles capable of talking to an 802.11b device?
I would have thought you would be better to buy a combined ethernet modem/router/wireless access point. I would also make sure it is from the same manufacturer as the USB dongles and that all three bits of kit are designed for the same wireless standard - either 802.11b or 802.11g
The modem kinked to is quite cheap - probably because it is 802.11b which is an older slower standard than 802.11g, although it does have a better range.