Please check very carefully that you download the firmware that matches your exact router model. For example, Vigor2600Plus and Vigor2600 are not the same firmware.
In newer models, e.g. Vigor 2820, you do not need to use the firmware upgrade Utility; you can upgrade from the router's own web interface (System Maintenance -> Firmware Upgrade) and then locate the firmware file on your hard drive. For older models, the firmware utility is contained within the Router Tools (downloadable at the foot of this page or on your CD-Rom). Firmware is normally supplied in two different styles: The ALL file will just upgrade the firmware, whereas the RST file will upgrade the firmware and wipe all settings back to factory defaults.