Wireless router help?

So i have this wireless g broadband router (Linksys Wireless-G Broadband Router WRT54GL Wireless router - 4-port switch (integrated) - EN, Fast EN, IEEE 802.11b, IEEE 802.11g) And i have my old router (RCA Digital Broadband Modem Model DCM425 NEAR MINT ITEM on eBay!). My connection is a cable that plugs into a wall, not ethernet cord, like one of those ones that you have to turn the screw or whatever it is on the thing to tighten it, like what plugs into your tv to give your tv cable. The back of the wireless router doesn't take the cable, it needs ethernet, so what i was thinking is that i could have the cable plug into my OLD modem and then plug the ethernet in to the OLD one and plug the other end into the wireless router to give that internet. I tried it and it had the numbers lit up, but WLAN and DMZ weren't lit up... Anything i'm doing wrong? I'm googling it now so don't say to do that. I want to know if i'm doing anything wrong by you guys first, or what i should do... please help me!