There are two aspects to your router setup.
One is to make a wireless connection between the router and your devices. It sounds like that is fine.
Your router also has to establish an internet connection. It is possible to have a perfectly good wireless connection, but still no internet access. This is because your router is not connected to the internet.
Usually, there are a series of lights on the router that show wireless status, (A)DSL (the line delivering broadband to your house) and finally the internet. What is the status of your router?
If there are some issues, try rebooting the router (switch off for 5 seconds and then back on again)