I have a Linksys Wireless Broadband router hooked up but the problem is it is blocking file transfers from my computer in Windows Messenger and MIrc. Would someone be willing to get on Messenger with me and walk me through a solution? My contact info for Messenger is in my signature below. I would be most appreciative! 
DAMN, and I thought you were going to ask about wood routers… 
lol! Nah…I already know lots about wood routers… I have a 3 HP router table set up in my garage/shop right now.
Do you have a firewall running?
You might need to go into Tools -> options -> connection and set up your HTTP Proxy. Usually, you will need the name of the server connected to the internet and the port number (try 8080).
Other than that, I know nothing.
Have you ever done a firmware update? Even though you might have just got the router, its firmware was probably not updated.