D-Link setup cannot recognize the connection

Hello!

I am trying to install DI-724-U D-Link router. The computer is Win98 with
DSL modem connected.
I am using this connection every day w/o problems.

Setup gives me folowing error :
*******************************************
error : no ethernet connection enabled

Setup requires your computer to be connected to your Cable or DSL
modem via the ethernet cable.

Please open the Control Panel, choose Network Connections and
enable your local network connection.

If there is a problem with your Internet connection, please contact your
Internet Service Provider (ISP).

To test your connection again, click Retry
************************************************** *
Tryed to disable Zone Alarm firewall - same thing.

May be I need to remove something from Netowork Settings ?

In the network connections list I have the following :

Client for Microsoft Networks
Microsoft Family Logon
Dial-Up Adapter
Dial-Up Adapter # 2 (VPN support)
Linksys LNEPCI II PCI Ethernet Adapter
Microsoft Virtual Private Networking Adapter
NDISWAN -> Microsoft Virtual Private Networking Adapter
NetBEUI -> Dial-Up Adapter
NetBEUI -> Dial-Up Adapter # 2 (VPN support)
NetBEUI -> Linksys LNEPCI II PCI Ethernet Adapter
TCP/IP -> Dial-Up Adapter
TCP/IP -> Dial-Up Adapter # 2 (VPN support)
TCP/IP -> Linksys LNEPCI II PCI Ethernet Adapter
File and Printer Sharing for Microsoft Netoworks