Now, select a passphrase. Set it as anything you like, but try and make it as complicated as possible. The easier the passphrase is, the quicker a determined hacker can crack it. Note it down somewhere along with the wireless channel you selected.
Now, minimize or close the browser and open up the Network Connections dialog on your computer. Select the wireless device, right-click and select Properties. At the top of the new window should be your wireless network adapter, select Configure, then the Advanced tab. It is in here that you select the channel you want your wireless device to work on. Set it to the same channel as the router. There should also be the option to add the passphrase. Select the option and add the passphrase you set in the router too.
Alternatively, you can use the software that came with the wireless adapter to automatically scan for and connect to the wireless router. It will choose the channel, but will request the passphrase and encryption level before it can connect. To test out the connection, remove the network cable from the back of the computer and try to connect using wireless. Once connected, it will attempt to authenticate. Here is where you add the encryption type, WPA2 Personal, if appropriate, and then the passphrase.
Windows can also do it all for you, using the Wireless Network Connection Wizard. It is a little more hit and miss than manually configuring it or using the adapter software, but is easier to do. All you need to do is answer yes when Windows asks you if you want it to manage and configure your connection.
You should now be able to connect to the Internet and can start surfing!