Mach3 by itself can only talk to a machine via the parallel port. If you use USB, you need an additional plug-in which allows Mach3 to communicate via USB. This plug-in is generally specific to a particular motion controller. Did your router come with any software? For example, I know one machine that had a memory stick hidden away in the packaging that included both the motion controller plug-in and the configuration file that was needed to tell Mach3 which pin/port was which. Once these were installed, everything started to work.

The other problem is that cheap Chinese routers often come with hacked (pirate, illegal) copies of Mach3 which are often unreliable but you will generally get some movement before you start to discover problems.