Are you getting this when you double-click the icon? (see my attachment - I copied the pic from the pdf manual on the linksys site)
Did you set up things just as the manual said? Basically it (the one for version 4 for example - still don't know which one you're using, or even if the others say to do it differently) says you have to install the software and setup everything prior to actually plugging the router. During setup you type in an SSID (linksys by default), and adjust all kinds of settings. Then at some point you connect the router to the PC via USB. Not even sure how it's supposed to be set up (I always thought those things connected to the broadband modem, then they broadcast the signal - didn't know they required a computer to operate).
I really don't know how to guide you on this as I don't even know which model you're using nor which steps from the manual you followed, so I suggest you read the pdf manual that's on the web site (just be sure to get the one for your model version).