Is the Laptop's "wireless" switched on? This is usually done either with a physical switch on the edge of the Laptop or with a combination of the Fn key and one of the F keys along the top.
If its WiFi is definitely enabled, clicking the network icon beside the clock should bring up a list of the networks that it finds. Click the entry whose SSID matches that of your router and you should be prompted to enter the WEP/WPA/WPA2 key and then be connected.
Only if its WiFi hasn't been enabled should it tell you to connect with an ethernet cable.