I solved my own problem.
For those who are having trouble installing their Linksys Print
Server:
First plug the cable into the print server and into the router, and
then configure the print server with the software. Using
infrastructure mode is fine, but you will not see the WLAN light come
on. After completing the setup wizard and installing the drivers,
unplug the power to the print server and disconnect the LAN cable.
Now reconnect the power cord. When the print server reboots, it will
be in wireless infrastructure mode and the WLAN diode will be lit.
The wireless mode will not be activated unless you unplug the power,
remove the cable, and then restart the print server.
So why couldn't the instructions say so?
>> Stay informed about: Can print server be wireless while in infrastructure mode?