You need to plug it into your PC using an ethernet cable, find the IP address of the router - probably 192.168.0.1 or 192.168.1.1 and put that into your web browser -
http://192.168.1.1
To check whether you are getting an IP address from the router do the following - click start, run and type cmd.
At the prompt type "ipconfig /all" (without the quotes) and press enter. The IP address you are looking for is the default gateway, should be as above.
You will now if that has worked as you will be presented with a login box, the username and password are usually admin/admin.
You then need to configure the router with your broadband username/password.
Once you can connect to the internet via a cable attached PC, you then need to configure wireless security before using a wireless device.