Please be aware that there are several different standards for WiFi. You must find out which standard the modem supports (tell us the make and model and we can look it up) and buy a compatible device for your computer. The most common versions are 802.11a, b, g, and n. http://en.wikipedia.org/wiki/802.11
For setup, it is very likely that your modem will act as the control point and you use WiFi setup on your PC to attach to it. Once you have done that, I STRONGLY suggest that you find the manual for the modem, read the section on security, and secure your network. If you leave the defaults, anyone can attach to your network and steal your soul.