Have you got a new-style NTE5 master socket, the type where the bottom half of the faceplate can be removed? If you have, try testing by removing that faceplate and plugging the router into the test socket which will be exposed. If the ADSL light comes on, you have an internal wiring fault. You can either find and fix it yourself, or get your ISP to get BT out to you, but this will cost.
If you still don't get the light, then it looks like a BT line or equipment fault. Contact your ISP and get them to investigate.