What is your setup? Are you using a wireless router, or using the phone line?
With wireless, there should be a series of letters and numbers written on the router (or what came with it) that says something like 'security key' or 'wpa key.' This is the key your computer needs because when you use a router you are creating a network, one that others could hack unless there was something to stop just anybody using it.
Find this key on your router (or in the packaging or something) and type it in when your computer asks for it, being careful of upper and lower case as you do.
Come back to us with what your setup is so we can help better.