Have a look at the literature which came with the router or download the manual from the maker's site. Connect computer to router with an ethernet cable. Once in the router setup screens, select wireless security, probably choose WPA as your security type, create a password and make a note of it. Save your settings and exit the router.
Go back to Windows Networking or your wireless adapter's user controls, detect your router's wireless signal, select it as the connection you want to make, apply password. Save the settings (sometimes called a profile).
Test whether you can connect via wireless.