i used to have that problem with mdk 8.2 and 9.0, haven't tried 9.2 yet, was going to.
but here's my experience w/ mdk when it comes to connect to internet, i personally think the wizard is ----VERY---- buggy. i never understand how mcc works!!!!! (don't tell me it acces through /sbin because that's too obvious!!! and its also obvious enough its more then just /sbin heheh)
anyway, this is how i got around it, dunno if it will work for you:
remove the router, directly plugin linux box to wall or cable box or dsl box, whatever you use like you did.
the diff is... don't run the wizard from mcc, run that while mdk is being install. i got mine work that way. (and yes, i had to reinstall many times to get to where i 'd like to be)
if anyone have better idea, please share. because re-installing go by pass mcc wizard is all i know.
i also use pppoe (locate /sbin) , adsl-setup to setup my internet connection, but thats for dsl.... dunno if u using cable or dsl so hope that helps