First things first.
Details of your router would help - manufacturer, model and so on.
Assuming you have enabled wireless from the router control panel, there are still a ton of things to potentially go wrong.
What type of security option did you select ?
Best option for this as a home user is usually WPA-PSK for Network Authentication and TKP for Data Encryption.
Are you able to connect to the router from a wired PC ?
Are you able to connect to your ADSL providor from that wired PC through the router ?
Assuming you can get a wired connection to the router and a live ADSL feed at the other end the rest is down to patientce, sometimes lots of coffee and a bit if cursing.
The reason wireless networking is so difficult is that it's complex technology.
Devices and their interfaces try to make it easier for home users but there's a lot of ground to cover in wireless and it isn't easy.
Try to give more detail of you can of your setup.