Sounds like the router / firewall has not been configured to allow your IP address through the firewall to the internet.
On my Linksys, it is possible to set up rules / filters to allow / prevent IP addresses from accessing the internet. I set up a range large enough for the IP addresses allocated and assign permissions to the that range.
If you are running Vista, you might have to RTFM. Vista seems to set out to make a relatively simple and straightforward network connection process into an over-complicated nightmare.
If you have a software firewall running, you might need to adjust it accordingly.
SD