I think Ethel's explained it well, but another answer can't help...
It's all very simple. PC World just try and make you think they know stuff that's complicated. Anyone can setup a simple home network, like what you're attempting.
Make sure everything is turned off at the plug first....
1) Does the modem you have now connect to your PC via ethernet (a cable like a fat telephone line, with similar connector), or USB? You need this to be ethernet. The box you bought probably comes with at least one. You'll need 2 in total. Lots of small electrical places sell these, they're very cheap (�2 for a few metres length), and they're called RJ-45 cables.
2) connect the ethernet cable from the back of the modem (it'll only fit in one port, with a nice click like when you plug a phone in)
3) connect the other end of it to the port on the back of the router. there are lots here that accept RJ-45 cables (5 on yours, I believe). One will be all on its own, the others are for your computers, and are probably labelled 1-4). Connect to the lonely one.
4) Get another RJ-45, and connect from your router (one of the other ports -- number 1 is customary), to the back of your computer. it'll have a special port that this just connects straight into.
5) plug all in, and then turn modem on, wait a minute, then turn router on. wait a minute, then turn computer on.
6) you now have the choice of manually setting it up (very easy), or putting the disc into your computer and setting it up that way. either way, it shouldn't be too hard.
Once you have internet, you need to read the instructions and see how to either turn off wireless (if you don't want it), or turn it on and enable WPA security. this prevents others from hijacking your connection.
What's important is to try and set it up without wireless, then get the wireless working. If the