My first step is usually to power cycle your router, and restart your Mac.
"Connected"?
Open your System Preferences, then the Network pane.
If you are using an Ethernet connection, do you see Status: Connected ?
What IP address is listed in that pane?
Router address?
What setting do have in "Configure IPv4:"?
Unless you have a special use case, that setting will usually be "Using DCHP"