Is it the model with that one click connect button on it?
Either ways you need to connect to the LAN port on the router open the browser window and type the IP in the address bar, for eg. 192.168.1.1
You'll get a status page of the router and will see a login link on the right hand upper corner of the page.
Click on it, and you'll get the login window, use the default admin and password, usually admin/admin and log into the router.
Go to the wireless network on the left of the page got to the security and encryption page. Select WEP+WPA2 and give a new pass phrase for the network. You can also choose the name for the network in the Wireless Network Section.
Save and apply, the router will reboot in a minute.
And ..... you're on Air.....

Anyways, if you have anymore doubts , the router has a CD or a manual with it for the basic setup. It's pretty simple to trouble shoot.
I have just given you the basic outline of what you need to do with the whole thing.
You're welcome to ask if you get stuck further on, but, it's good to know the model of the equipment you're using to be able to help you out more precisely.