1) It shouldn't matter, but I'd still go for installing the other distribution first, because if you happen to wreck something, you don't have to install the router twice then
2&3) Well..you need to shrink the partitions of Ubuntu (to create free space for DSL), and such things. I don't know if there are huge traps anywhere, except for your bootloader configuration: you can either leave DSL's bootloader uninstalled and leave Ubuntu's loader in place, or overwrite Ubuntu's bootloader. It's all the same, but anyway you probably need to manually configure the bootloader after the setup. Think beforehand which way you want to do it, and write down the current bootloader configuration, so you know what to do after setup (basically just copy the existing OS boot section and alter the paths to fit the new OS locations). If DSL was clever, it could automatically locate & add Ubuntu to it's bootloader durin the setup (if you wanted to overwrite your current bootloader), but I'm not sure if it does that, so better get prepared to do it manually. Also think if you want to share some partitions (like /home or SWAP) between the systems.
4) It depends on the driver. Is it surely a Linux driver? If it is, you should have instructions for it..Windows drivers don't do here.