>> I expect I will need to reconfigure the card to DHCP? There is an option in the config dialog to do this, so no problem.
That's generally the easiest option, although as Kitz says, you can give it a fixed IP address in the right range for the router (192.168.0.x where x is between 2 and 254).
>> Do I need to set up a DSL connection on Fedora?
No, that option is for USB modems, which are much more problematic. With an ADSL router all you need is a working ethernet interface, which you've already set up.
Concerning firewalls, for a desktop computer you really don't need anything beyond what the router provides. Even with your Fedora firewall completely disabled, you'll find that a test site such as
Shields Up will report a perfect result.