firstly ....are you wanting to use just one pc on the broadband ???
if so then you will first of all, have to set up wired, so that you can do all the configurations to the router...not really a lot to do as its a sky router (username and password are already set on a sky router) ...once you have a successful connection with an ethernet wire, disconnect ethernet from pc or router and plug in the usb adapter allow windows to set it up and you should then get a connection ..you then need to login to connect to the router (if you have setup the wpa protection ) using the key on the side of the router ...or on the card that came with the router.
if you need to make any changes in the router always revert to wired to do them ...as you will find wireless will lose the connection and you will not be able to complete the changes .
hope this helps ...Dave.