check that the wireless is switched on (switch on laptop body)
right click on connection in task bar and click show wireless networks. select your network and click connect. when it asks for the password enter the password for your router.
to protect your wireless, go into your router settings and enable the firewall then set a wpa-psk password (do not use wep as it can be cracked in less than a minute.)
post make and model of router for more help with settings.