I just had a similar problem with my new setup from TWC. I had to call them so they could enter in a certain code to activate the wireless for me. Very odd but that solved it for me. If you rented/bought the router from your ISP then give their tech support a call.
I'll need a little more information than that. It sounds like when you plug directly in, you're able to connect to the internet. Is that right? What message are you seeing when you try to connect wirelessly? What version of windows are you using? What is the model and name of the wireless router?