My experience of an ethernet modem is as follows...
You do NOT need to use the Internet connection wizard. You simply leave the Local Area Connection (Ethernet port on your PC) properties to default - Obtain an IP address automatically.
Connect your ethernet modem to the computers LAN port but do NOT connect it to the Internet.
When you turn on the ethernet modem, it will give your PC a local network address using DHCP.
Check the IP address of the router in your Local Area Connection status window.
You can now log in to the routers web interface by entering its local IP address into your web browser.
Once you have configured the ethernet modem, connect it to the Internet, and it will obtain an Internet (WAN) IP address which will be passed onto your PC's LAN port.
Your PC ethernet port is now acting as your internet connection and will have the WAN IP address assigned to it.
Simply make sure your Internet settings (in Internet Properties) are to "never dial a connection".
To summarise, when the modem is connected to the computer and NOT the internet, it will give your PC a local IP address and you can connect to the modem and configure it.
When you physically connect the modem to the Internet it will get the WAN IP address and pass this to the PC and the modem becomes "invisible" and cannot be configured.
Hope that helps.