When the drive is powered up, the stepper shafts should be "locked". If not, than you have a wiring or drive problem.
You probably don't want to hear this, but the Stepperworld drives are not the best choice for a router. They're inefficient, and not capable of very high speeds. When you get it working, you can get better performance by increasing the supply voltage, but you'll need bigger resistors which will create a lot of heat.