More then likely your cable modem is setup to connect to a PC not a router hence you would have to use a crossover cable. Do you get a link light when both cables are on?
if you don't then cabling is your problem if you do get a link light then I would have to say the modem's "outside" interface is not setup properly.
Also on a second thought did you have a computer connected to the cable modem before the router? if so you may have to reset the modem, some of them keep MAC addresses in memory so the change from PC to router would not work until you reset the cable modem (note I strongly suggest that you make sure you can reset the modem without loosing info before doing it, some providers are not very good with this kind of thing).