and you'll connect it to the Cable Modem or Set Top Box by a network cable known as a CAT5 cable. There'll be one of these supplied with the router, but you'll need to buy another one.
You'll use this second cable to connect the router to your PC's existing network card, so you can configure the router according to the manufacturer's instructions.
You can leave the PC connected in this way if it's sited near to the router, or you can install a wireless network card - in which case you'll disconnect the router/PC cable once the router has been configured.
Your laptop may already be WiFi enabled, but if it isn't you'll need a wireless network adapter for it - either a PCMCIA card type (recommended) or a USB type.