I am assuming you have the following: A cable/dsl modem and Internet Service.
*Also... I'm not in front of my Mac at the moment so these instruction may not be exact.... they should get you all set though.
Attached the router to the modem. So it looks like this:
Router-----Modem-----Wall.
Now use an ethernet cable to connect your laptop to the Router. Now looks like this:
Laptop----Router----Modem----Wall
Open Safari (or any web browser)...
In the URL field type
192.168.1.1 and press enter.
Click on the "Wireless Settings" and name your Wireless network (SSID). Use the WPA encryption... don't use WEP. Picture below...
When you've finished that.
Disconnect the ethernet cable so your back to:
Router---Modem---Wall
Now click the Airport Icon in the menu bar and select your Network.
Enter your password... and check the "Remember in Keychain"
Open Safari... you are now wireless.