I had a similar experience with my router.
I just moved in and got my cable internet. I needed a router, so I had my bro pick up a D-Link Residential Gateway (I guess it's the same as a router.)
Instructions were for 98, but I knew how to configure it with XP... in fact, my machine was already configured (enable TCP/IP, obtain IP address automatically.) It should have worked when I connected everythign and turned it on, but nothing happened. I could only sometimes log on to 192.168.0.1, but when i put my password in, it would time out.
Took it back for a refund, computer shop said no returns. They wouldn't give me an exchange because they said the warranty ran out. (I always thought the warranty starts when you buy it.) I'm out $20 right now, and I wont have cash til wednesday because I spent it all on moving. I'm gonna get the same Netgear wireless I had before... I had NO problems with that one. Also gonna buy it at Best Buy, even though it's a little extra, they'll take it back if it's broken.
