Do you have any supported B or N devices? If not I would consider using a G mode only. Keep in mind that if you don't have any Wireless mode devices, set up the routers WiFi to support only those modes for devices you have. I would disable WISH and WiFi protected setup for right now. Go back and enable them if you need them after you get the WiFi internet going.
If your connecting, great. You should have internet on the device your connecting with. If your connecting but no internet, i presume there is an issue with the connected device not detecting the internet stream for some reason.