when setting up wireless components, is to take it a step at a time.
1. Set up the ADSL modem/router according to the manufacturer's instructions - you'll need to connect the router to a computer via the supplied ethernet cable to do this, but you can remove the cable once setup is complete.
2. You should now be able to configure additional computers for wireless access - do one computer at a time.
3. It's important, when setting up a USB wireless adapter, to install the software BEFORE connecting the device. Reboot the computer, and then plug in the adapter.
Each computer should be able to 'see' the wireless signal via its adapter, and you'll have to tell it to connect. Look for a wireless icon in the system tray at bottom right of your screen - clicking on it will produce a dialogue box, where you can select the connection. Once you have done this, Windows should default to that connection each time it's available.