Russia's got an issue.

I got to the point of "security settings" and found that it was not possible to change the region to anything except for North America. That's why, I guess, I have "no internet connection".

It is typical issues on buying from other region and find out wireless region can not be changed

Is there any ways I can find any firmware using which I can change it to Europe or Russia and solve the problem?

You should still able to make internet connection with wireless region US but to your answer yes and not. Some has shown trouble flashing other firmware. You may able to do that with TFTP method if European firmware do not upload from the router GUI.

Or maybe it's not the reason why I don't have a connection - please give me an advice what I need to do to fix it.

That would not be the case.

Certainly there is correct way to install with broadband you have but also setting up router behind another router still should work. I would say you would need to detail your ISP and type of broadband modem/gateway model you have if you need assistance here.

Your first obstacle is to have pc directly connected router with ethernet cable and make sure you can get internet connection and deal with wireless region and/or firmware issues.