Refer to the literature which came with the router (or download the manual from DLink website) and look at the section on setting up the router via your internet browser using an ethernet cable between the computer and the router.
Once in the setup screens, go to wireless, wireless security and select a wireless security type which your computer's wireless adapter also supports (usually WPA or WPA2 is preferable). Apply a passphrase to the router's user interface and make a note of it.
Save and exit. Disconnect ethernet cable
Go to computer wireless adapter setup (or Windows Wireless Connection) and input the passphrase you noted down earlier.
See if you can connect to the router (and internet) wirelessly.