Have you got the literature which came with the router ? Or download the full manual from the maker.
You need the IP of the router (often 192.168.0.1 or check by using IPCONFIG /ALL in a DOS box from Command Prompt).
Connect computer to router by ethernet cable.
Put the IP into the address bar of your browser and you should then see a login box -- the user name is always admin. The password may be left blank or be something like password or admin -- see router literature.
Once in go to Wireless settings and check that SSID is being broadcast not hidden and that Access List (filter users by MAC ID) is disabled and do whatever else you want.
Many routers provide help files or text built into the user interface -- these and a decent router manual are probably all you need to manage the LAN side of the router -- DSL or cable (WAN) part may need help from wizard software provided with the router or help from the ISP.
Windows is much easier to configure for networking since XP and (again with Win 7 in some aspects).
I don't see much role for third party software in the process, though some people find it helpful in setting up Windows and the LAN part.