I had this problem at a friend's house a couple of weeks ago. He'd bought an "ADSL wireless router" from eBay and failed to get it to work. The router was crammed tight into the corner of the desk so I couldn't get at the back of it and as he usually knows what he's doing, I eventually put it down to wrongly flashed firmware.
It was only when I fitted one of my spare routers that I saw he'd been sold a Netgear WNR2000. I suppose if like my mate, you're used to where the cables go, you're in a rush and the light is bad, it's easy to miss the fact that all ports are RJ45's.