When I plug the cable into the WAN-O port of the base station and an outgoing Ethernet port on my router, in my Network, I get something that says "Thunderbolt Bridge" which is not connected (red dot) and can't do anything with it.
I am not able to duplicate the error that you are reporting. "Thunderbolt" would only appear if you are trying to use a USB cable or USB to Ethernet adapter, which you do not want to do. You need to use a regular Ethernet cable. It will look like this on both ends of the cable and the Ethernet ports on the router and Time Capsule will look like the second example below:

Double check this before you proceed any further.
Next, let's make sure that the Time Capsule is connected to your router correctly.....and....configured to work on your network. When this occurs, the Time Capsule will be set up automatically in Bridge Mode, so you don't have to worry about this.
Connect an Ethernet cable from one of the LAN <--> Ethernet ports on your Wi-Fi router to the "O" port on the Time Capsule. Most Wi-Fi routers have 3 or 4 Ethernet ports, which are labeled <-->. Use any one that you want.
Power up the Time Capsule and let it run for a few minutes
Then, hold in the reset button on the back of the Time Capsule for 7-8 seconds and release
Allow a full minute for the Time Capsule to restart and display a slow blinking amber light status
Open AirPort Utility on your Mac
Click on the Other WiFi Devices button in the upper left side of the AirPort Utility
Click on Time Capsule xxxxxxx

When you click on Time Capsule xxxxx, this will start up the AirPort Utility setup wizard which will display the correct window to configure the Time Capsule, which will look similar to the window below except that you will see a picture of the Time Capsule.

Network Name......Type in a short name for a Wi-Fi network (you won't use this network, but it must be set up)
Base Station Name....Type in a device name that you want to call the Time Capsule
Password.....Type in a password
Verify.....Type in the same password again
Click Update and give the Time Capsule a minute to restart and display a green light. When the green light appears, the Time Capsule has been set up correctly to connect to your Wi-Fi router's network....and...the Time Capsule has been set up automatically in Bridge Mode.
Post back on your progress and we will continue.