Start with retrieving the literature which came with the router. This should show how to address the router's setup screens via your browser. If not download the manual from the maker's site.
Once into the router setup, select the wireless security menu and choose either WPA TKIP PSK or WPA2 (the latter if both your router and adapter support wireless N technology). Create a passphrase and apply. Write down your password (in the router literature, perhaps). Save the changes and exit the router setup screens.
Now go to your wireless adapter's setup screen (or Windows Wireless Connection settings). Detect your router's signal, select it and fill in the details of security type and passphrase.
Be patient as the adapter and router negotiate -- this takes a little longer with wireless security enabled.