ADSL or Cable?
Does the router have a built in modem?
What model of modem/router/wireless adapter?
Either way, set up the router/modem with the lappy by ethernet cable first. Then power down the lappy, router and/or modem. Plug in the Wireless adapter (either card or USB 'thingy') and the router should see the lappy when it's all powered up again, Modem first, then router then laptop last.
You will then need to set up the security features to ensure that only that PC can use the wireless access.