I had this document "saved as a draft" because I haven't had a chance to add the links below to Windows Vista Bookmarks. This is being published in hopes of having an answer for Bits from Bill: Great New Dell Vista Laptop but No Internet
Proxy settings in the browser need to be disabled when using a router as the gateway for the Internet connection. Although I did not find instructions for disabling proxy settings in Opera, below are instructions for Firefox and IE.
Here is the full set of articles at Linksys: Windows Vista Articles Listing
Update: This may also be of interest, recently published at InsideMicrosoft by Nathan Weinberg: Vista Confusing Wireless Routers