Did the mobile 3G connection work before you set up the router? You need to be sure you're connected to the Internet before setting the system to share its Internet connecion with other computers in the network. Which Operating System (version of WIndows) are you using?
When you right click the connection in Control panel>Network Connections and go to Properties then Advanced, is there a tick in "Allow other computers to share this connection". I believe even if there are no other computers, the router counts as one but its own firewall settings may need to be changed to allow the incoming connection - it's used to those coming through a cable from a MODEM.