As I had hell all night to get this to work I thought I'd share my new found knowledge. 
Put the invalid/locked SIM card into the router.
To have DC Unlocker detect the router you must connect its LAN port to your computers LAN port with a network cable. You also have to be connected to the internet via a wireless network. As windows xp tends to use the wired networks internet connection, which is of course not working, you now must configure a new network and select "this network has no internet connection".
After sucessfully having unlocked the router, you will have to reboot it and create a new profile for the SIM card's ISP.
Good luck!
Jörgen

Put the invalid/locked SIM card into the router.
To have DC Unlocker detect the router you must connect its LAN port to your computers LAN port with a network cable. You also have to be connected to the internet via a wireless network. As windows xp tends to use the wired networks internet connection, which is of course not working, you now must configure a new network and select "this network has no internet connection".
After sucessfully having unlocked the router, you will have to reboot it and create a new profile for the SIM card's ISP.
Good luck!
Jörgen
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