I've just done this on a friend's laptop, they are with BT but I would guess the principle is the same.
The best thing I can do is point you to BT's help page here
Bassically the router was installed as a wired modem first of all, and the set up software run. A check was made to ensure internet access was ok by cable, it was. The cable was then removed and set up run the second time this time chosing the wireless set up option in the set up wizard. During this procedure we had to type the Wireless network key, found on the bottom of the modem, into the router configuration manager software (came with router) I would guess the router you have will have a similar bit of software.
Once that was done, the BT set up software tested the wireless signal, ....and it failed!
The reason was that the wireless network key was composed of letters and numbers, the letters were all lower case, but I had caps lock on, so it appears this key is case sensitive.
After changing the key, all worked fine. It was actually easier to do than explain. If you have basic knowledge of setting up an internet conection, and installing hardware/software you should have no major problems.
If the link I gave doesn't help, your router manufacturer will probably have more specific details on their website.