turn your router on, connect your computer either via cable or wireless
type the following:
http://192.168.0.1/
then type in "admin" and hit return, don't enter anything in password field.
then hit the "wireless" button on the left hand column and turn on WEP and enter password, etc.
i'm assuming you bought the router used or someone gave it to you without instructions, so it may be set up already with a password. if that's the case, take a paperclip and do a factory reset by poking the little indented button and holding for 10 seconds as you see the lights flashing, then try the steps above.
hope that helps.