The DGL-4500 is a Router with a built-in wireless access point.
The port you are referring to is a WAN Port which is supposed to connect to your ADSL or Cable Modem via a Network cable.
What you appear to be trying to do is plug the phone line directly into the router itself. This can not be done.
http://en.wikipedia.org/wiki/RJ45
http://en.wikipedia.org/wiki/RJ11,_RJ14,_RJ25