There many be several LEDs, but one should show the status of the broadband connection. If there is no connection, this light could be red, orange or might be flashing to indicate there's a problem.
You may have resort to the manual, but try and identify whether those status LEDs are telling you anything useful. If you do discover that you have a 'red' internet light and the router doesn't appear to have a broadband connection, here's what to do.
The first thing to try isn't very technical: just turn it off and back on again. Rebooting the router fixes connection problems a surprisingly high proportion of the time.
If it doesn't cure the problem, check all the wires are properly connected, especially the ADSL filter (if there is one it'll be a little box plugged into your phone sockets with two telephone cables coming from it).
In fact, ASDL micro-filters are often the cause of broadband problems, as are phone extension cables. Make sure your router is connected to an ADSL micro-filter which is itself connected to the main (master) phone socket in the house, not an extension.
If none of that works, you can also try completely resetting the router, as well as upgrading its firmware to the latest version. Bear in mind that resetting it could mean you need to enter your broadband settings again, as well as changing the Wi-Fi settings or re-entering the Wi-Fi password on all wireless devices.
If you have one, try swapping out the router for a spare to see if that cures the problem.