<<<Firstly I checked what Network adapter I have through my device manager and it tells me that I have a USB ADSL WAN Adapter - is this ok?>>>
This is your existing USB ADSL Modem which cannot be used with a router. You need to replace this with the combined "Router & ADSL Modem", but this does have to be connected to an RJ45 network port in the PC. You cannot use the RJ11 port which connects the PC's internal "dialup" modem to a phone line.
If your PC definitely doesn't have a network adapter installed, which would provide an RJ45 port and appear in the Network Connections folder as that "Local Area Connection", then you need to install one. This can be either an internal PCI card if you have a spare slot on the motherboard, or a USB Network Adapter.
The initial configuration of a router almost always requires a "wired" ethernet connection from a PC. Once set up, PCs/Laptops can connect "wirelessly" provided they have a Wireless Network Adapter installed.