Well, that was more tricky than I had hoped...
I spent a long time working with different versions of firmware for the router, it wouldn't pick up the ADSL signal at all without *all* the phones unplugged. It came with version 2.5.3UK which didn't pick up the ADSL at all.
I had to fight for some time with the firmware upgrade process, before I eventually admitted defeat and read the manual.
I installed version 2.5.2 which came on the CD with an auto-installer, and this picked up the signal.
I noticed in the manual that it stated that you should plug the ADSL router directly into the main socket, without using the filter. So I filtered the phone, and plugged the router directly, and it all worked!
Just need to get the extensions working now.... the saga continues.