The initial configuration of a "wireless" router is carried out with a wired ethernet connection from a computer to the router. The reason for this is the "chicken & egg" situation - you cannot connect wirelessly because the router hasn't been configured and you cannot configure it because you cannot connect wirelessly, hence the initial use of a wired connection.

A router's configuration pages can be accessed by entering its IP address into your web browser and then, when prompted, entering its Username & Password. If this doesn't work, it may be necessary temporarily to give your network adapter (the "Local Area Connection" in the Network Connections folder) a fixed IP address in the same range as that of the router. For instructions on how to do this, have a look at this article.