Perhaps you can explain a bit more about this vpn you want to setup? I imagine you want to get around country TV restrictions by using a vpn. Do you understand that you need to subscribe to a vpn service in the target country to do this?
Your router only supports vpn passthrough which is not the same as actually having a vpn capable router. This may be a problem for you as a vpn passthrough requires a vpn client and its not likely you can load that client on your tv.
That aside lets see what your router is up to. Please do the following:
1. connect a pc/laptop directly to the modem. Post the results of a ipconfig /all via a command prompt
2. connect a pc/laptop directly to the lan side of the router. Post the results of a ipconfig /all via a command prompt
I suspect you may have a ip addressing issue which is why it appears to not be working
ps your manual