|Do you recommed using the CD's to do the setup? |
Not for the router. I've set quite a few up and never once touched the CD's. In fact, since you bought a WRT54GL you can even use a 3'd party firmware on it. My personal preference is Tomato Firmware. If you'd like to have a look at a couple others, there are multiple links to other 3'd party firmwares at the bottom of the page I linked to.
As for the network interface, you will probably have to run the CD. At the very least, you would want to load the drivers off of it. If it were me, I'd physically install the adapter and then let windows "find" the new hardware. When prompted to load drivers, I would then put the CD in the CD-ROM and have windows search the CD for drivers. If it finds drivers on the CD, load them and check in Device Manager to see if the device has loaded properly and is working. If it is, then try searching for wireless networks.
I would configure your wireless network on the router first. When doing so I recommend using WPA encryption and a complex password for your own safety.