Funny, the Guide addresses this exact issue...

You need to have the Router Address field filled out if you are doing the setup manually.

When you have "Connecting using DHCP Server" settings, after a little bit you should see the fields displaying various IP addresses. The Subnet Mask is always 255.255.255.0, the IP address will be the Internal IP address but it can also be an external IP address, and Router Address must be filled in, because that is the primary DNS lookup (and many other things).

Peruse through the link in my signature to see if you missed anything.