I have now. I set them to ...
APN : payandgo.o2.co.uk
User Name: payandgo
Password : password
... and the router connected to the Internet and I could get to Google.
Strangely though, the network connection icon in the status bar on my laptop, which is connected to the router via a cable, still shows the no internet asterisk against the icon. But clearly that's wrong as it does now connect.
Now to try to get the analogue phone bit working!
I don't know how we are supposed to know about all these things. The manual for the router didn't even mention APN, whatever that is. Still, it looks like the problem is solved
Thank you for your help.