The settings for the router (number to dial, user name, password) will be held within the router itself and not within Windows. I think you will find the same applies for your existing modem. That being the case, each will be unaffected by anything you do with the other.
I assume that you're getting the router in order to network more than one PC for your internet connection. This being the case, a quick word of caution. Normally networking two PC's requires a crossover cable between them. Networking two PCs to the router requires a straight cable between each and the modem. You will find that one is supplied with the router - make sure you get the correct type for the second PC.
Also, check that your first PC connects to the Internet before attempting to connect the second - you'll find it easier to trace problems that way.