That's an obscure one :)
To start with you need to make sure you are connected to the router using an Ethernet cable (the yellow one that came with it)
then open a web browser and type the following address into the address bar
http://192.168.1.1
Hit enter and when prompted enter the username of admin and the password is also admin.
Once you are logged in click on the wireless link at the top f the page followed by security just under it. once the page has loaded set the following settings..
SSID: set this to whatever you want, it's the name your network is visible by (or just leave it as the default)
security mode: set this to WPA-PSK/WPA2-PSK
From here I have to guess a little as the manual isn't clear...
I would guess that when you set the security mode to WPA-PSK/WPA2-PSK you will get an extra field labelled something like pre-shared key or security key, in this field enter the password you want to use when connecting to the wireless.
Then click on the apply button to apply the change of settings.
Now you can disconnect the Ethernet cable and try and connect the the wireless network called whatever you set the SSID to above. Enter the key you set when prompted and you should be good to go.
The manual is here for further reference.
http://www.getnet.eu/...w%20user%20manual.pdf