You have everything in good order, apart from the initial setup, this should be done wired, i.e. with a cable. Trying to setup the router over a wireless connection more often than not crashes the router, which then needs a hard reset via (usually) a small button on the back. Routers generally come with a cable for setting up so this shouldn't be a problem. Moving the pc so it's close enough is a bit of a pain if the supplied cable isn't long enough.
Once you've setup wireless access/security you can unplug the wired connection and off you go.