If you can I recommend plugging a computer to the router to begin with - once you've saved the router settings and you're doing this wireless... you'll be disconnected from the router page and if you didn't get the correct settings, will need to start over again.
Access the Router
1.Go to your desktop and double click on Internet Explorer (Located on the Start Menu in Windows XP)
2.When "Internet Explorer" opens type the routers IP address into the "Address" bar and hit the [Enter] key (The Wireless routers default IP address is http://192.168.1.1)
3.The "Enter Network Password" window will appear.
4.Skip user name and type in your password (admin is the default password), and click OK
5.Go to Wireless tab.
I suggest changing the Routers SSID or Wireless Network name so you can easily "see" your network (and some routers may also be using default "linksys")
From the “Basic Wireless Settings” sub tab, look for the “SSID” section. After locating the “SSID” section, change it to something unique, for this example we are using linksys1234.
Once the SSID has been changed, click on the Wireless Security sub tab, which will load the “Wireless Security” section.
From the “Wireless Security” section, set the “Security Mode” to WEP.
After selecting WEP as the “Security Mode, make sure that the “Default Transmit Key” is set to the 1 option.
Set “WEP Encryption” to the 64 bits 10 hex digits option.
Under the “Key 1” section, input a 10 digit number that is easy to remember, but secure.
Security TIP: Using a home phone number probably isn’t a good idea, as your neighbors might know a home phone number,
using a work phone number would be more secure. To increase security even further, transpose the Area Code and the Prefix.
After setting up the key, make sure to write it down on a piece of paper for further reference. After writing down the WEP Key, click on the Save Settings button, then the Continue button if prompted.
Use that Key on all your wireless computers.
Another type of wireless security is Mac Filtering - a bit tricky (you'd need to keep adding mac address each time you allow a wireless computer onto your network.)
TRy these steps to set up wireless MAC Address Filtering.
1.Go to Wireless Mac Filter sub tab. When the “Wireless MAC Filter” screen appears, set the “Wireless MAC Filter” option to Enable.
2.The page will refresh, then choose the Permit only option.
3.Now, click on the Edit MAC Filter List button to add the MAC Addresses of Authorized users.
4.After the MAC Address(es) have been input into the “MAC Address Filter List”, please click on the Save Settings button at the bottom of the window, then close the “MAC Address Filter List” window.
5.Once the “Wireless MAC Filter” window appears after closing the “MAC Address Filter List” window, click on the Save Settings button, then the Continue button if prompted.
If you have an option for WPA or WPA-2, you can select to use that instead of WEP, but you need to make sure your wireless adapter/s are capable of using it.
I recommend keeping this simple... use WEP. Once you're comfortable and braver in handling your network, you can try Mac filtering and WPA.