The documentation for the device should explain the lights and what they mean. The fact that the WLAN light isn't on could mean anything from the actual radio being disabled to and more likely, nothing is connected wirelessly and there is no wireless activity.
It seems you are close to resolving your issue, but still missing something important.
You need to make sure that when you make changes that you note the previous condition or setting so you can change it back if need be.
You need to make sure that after these changes you apply and or save them by selecting the proper button or link.
Sometimes after some changes, some routers require a reboot before the changes actually are able to take place, I know on some netopia routers this is indicated in the top right as a pending task. In any event if shouldn't hurt to turn off the router and unplug the power for a couple minutes, then plug it back in and boot it back up (if it's even got an on/off switch) some routers actually allow you to do this from within the interface.
You have the documentation / user guide, and the means to even start from the beginning if need be. We're kinda flying semi-blind on our end. If this device was actually provided to you, by your ISP, perhaps a phone call to them may actually help, I know it probably wouldn't hurt.