|I'm assuming it's a wireless router you have, otherwise the foregoing won't make much sense.|
When you only have one PC or laptop and you want to set up a wireless connection on it, first disable wireless on the laptop, connect the laptop to the router with an ethernet cable and reboot (when you change from wireless to ethernet & vice-versa on a PC/laptop, you have to reboot to allow Windows to recognise the change at startup).
When Windows is back, Log in to the router's configuration web-address with a web browser by typing http://192.168.1.1
Set up wireless security password and write it down. Also make a note of your routers ID Name (SSID).
Now disconnect ethernet, turn on wireless on laptop and reboot again.
Right-click network icon in system tray and choose "Connect to a network"
Double click the ID Name (SSID) of your router and enter the password. Click 'Connect'.