Unable to setup my wireless router

I recently purchased a wireless router. It is a Netgear dgn3500 and my ISP is AT&T and the modem provided from AT&T is a westell 6100 (black with 5 LEDs). I can't seem to set it up or even where to begin because I bought the refurbished and it didn't come with a setup cd. Also, I called AT&T they told me that the wireless router has to connect with the westell modem to get connection (dsl in the modem and connect with the router through Ethernet) . But in the online user manual of the router it says to plug the dsl line in the router.Also, the operator told me that it might be necessary to change the protocol from PPoE to Bridge Ethernet.Using Windows XPCan someone give me some direction?

update:
Nevermind, I got it to work. I plugged in the dsl to the router instead of the modem and went thorugh the setup wizard just like it stated in the setup manual.

But may I ask why there are some routers (like my friend) that are connected to the modem through an ethernet instead of directly connecting to the dsl? What is the difference?

It is an ISP policy regarding proprietary modem which means their device is designed to run the network and users use an extension router to connect multiple computers. While todays router can act as a modem router with wireless capabilities, most providers are still into this system. It is an advantage to have a modem coming from your ISP since it warrants us of any networks problems and support. While on the other hand, it is a convenience for others to choose a better network modem/router device in one and avoid the little hassles of setting up another access point just like in your case.