Have you made sure both ends are plugged in? Also, make sure it's plugged in to the "Data" jack in the wall, not the "Voice" jack (often side-by-side).
Click on the two computers icon in the toolbar then select properties. There should be incoming and outgoing packets. If they are not both high numbers then your computer and router are not speaking properly. If it says the ethernet cord is not connected and it is you have a driver problem. Your computer manufacturer website has the drivers
It could be because of the anti-virus software conflicting with the router. Try disabling your anti-virus while you check your Ethernet. You could also try a different router.