I assume that you've triple checked your ISP settings in the router's config page? I know that it sounds a bit obvious, but it's worth being 100% certain that you have the right protocol and have type the username and password correctly. The light will flash during the connection process, which suggests that it's having a go at connecting but isn't getting anywhere.
The other possibility, which cannot be totally ruled out, is that the router is faulty. It can happen sometimes unfortunately.