Diagnosis
The router's WPS-based setup process is finicky and often fails if your phone is connected to cellular data or another WiFi network during setup.
How to Fix It
Forget any other WiFi networks on your phone. Turn off mobile data. Connect your phone directly to the default WiFi network broadcast by the router (the name and password are on the sticker on the bottom). *Then* open the D-Link app and try setup again. It needs to be on the router's local network to find it.
If That Didn't Work
Skip the app. Connect a computer via Ethernet cable to one of the router's yellow LAN ports. Open a web browser and go to http://dlinkrouter.local. You'll get the classic web setup wizard, which is far more reliable for initial configuration.
Heads Up
The initial setup *requires* an active internet connection from your modem to complete. If your modem isn't on and ready, the setup will fail at the end.