That particular error messege is pertaining to your security settings. I've attached a link, read it and see if your settings are correct. Im sorta stumped on this one because your saying its when you try to install your router. Normally it would occur when trying to get into chatrooms that are ActiveX based or it can occur if you run the Microsoft Office 97 File and Registry Eraser utility on a computer that is running Microsoft Windows NT 4.0 and Internet Explorer. Which thats def not your problem.
Read the link and check your settings and also make sure you install the latest critical updates and services packs then post back with a reply.