Ok, so do you want to know the secret to logging in after you've run SETUP?
When you enter the PASSWORD value you chose in setup, DO NOT press the LOGIN button. That will not work, period. Instead, make no attempt to change the greyed-out "admin" user name value. Simply type the password into the password prompt window and press ENTER. You will get logged in.
Notice that when you do this, you will see the password text (which you see as dots obliterating the underlying characters) magically change length inside the prompt window. That is because whoever built this is replacing the text with the "encrypted" version of the password before proceeding. So, when your browser asks if you want to "update" the password for this page (for example, Firefox), it will save the WRONG ONE, so don't bother! (Interestingly, the Password (and the Confirm Password) prompt data will ALSO change length in the prompts inside the Advanced setup when you make an attempt to change the password manually and reconfirm it.
Of course, this means you cannot let Firefox "remember" your router login password. It won't work. But you can type it and press ENTER and get logged back in.
Oh, and never mind the fact that the error message is "Please input the User Name". It's the password that is wrong.
Way to go D-Link!