You don't need to create a new connection on your computer - the router will automatically make the connection, once you have configured it to send your login to your ISP.
The thing to remember with an ADSL modem/router combination is that it's the router which makes the connection, not your computer. Your computer simply accesses the internet via the router.
The router's setup instructions will contain full details of how to access its setup pages by typing an IP address into your browser - you must connect the router to your computer via an Ethernet cable (supplied with the router) so you can make the configuration settings. That means that your computer must have a LAN port - a network card in other words.
Once you have entered your login details, and saved them to the router's firmware, you'll find that it will make the connection automatically each time it's turned on - your computer doesn't need to be running for this to happen.