For a router, there are only RJ45 Ethernet connection ports. Nothing to do with the USB port. (only Ethernet adaptor use USB port.)
Try the followings:
1)connect the (cable or ADSL)modem to the router with the Ethernet cable. (use the cable that connected to the desktop)
2)Use the blue Ethernet cable come along from the Linksys to connect from the router to the desktop. (Make sure you choose the right ports and read the manual in detail.)
3)Connect the power of the router, reset the router by pressing a pin on the reset button for 10 second.
4)Restart your desktop and run "ipconfig /all" at the command line.
5)Check if you have obtain a proper IP address.
good luck...