Have a look at the literature which came with the router or download the manual.
Basically, you have to connect the router to computer by ethernet cable (not essential but less confusing than trying to do it all by wireless)
Log in to the router's setup pages via your browser using the IP address of the router.
Once in go to wireless setting, wireless security, select WPA PSK TKIP as your security type and create a passphrase. Save settings and exit.
Go to your computer's wireless networking settings (or the utilities supplied with your wireless adapter) detect and select your router and apply WPA as your security type and apply the password. Save settings (usually stored as a profile) and disconnect the ethernet cable. See if you can connect wirelessly with security enabled.