Nah, you don't need a CD, you do need to enter your login detils into the router before it will connect though. I'd suggest resetting the router before doing anything as it's second hand, to do this power it up and then use a paperclip or similar to hold the little, recessed, rest button on the back in for 10 seconds
Now connect up the router to the phone line and connect your computer to it using the ethernet cable, then open a browser on your computer and enter the following in the address bar
http://192.168.1.1 . Once prompted enter the user name admin and the password password (or 1234) and this should load the routers admin screen....now click on the basic settings link on the left and enter your username and password for your ISP account, click on apply at the bottom, wait a bit and see if you get a connection.
When prompted