Having recently purchased a wired / wireless router you're proberbly looking to set it up but either relise you don't have the disk, instructions or just lack knowledge to do it - no worries!
Firstly, we'll assume you have a standard Wireless Router (used with cable modems not DSL), if you connect it to the power, then a standard ethernet (RJ45 / cat.5 is fine) into one of the ethernet ports on the rear of the router, making sure it's inserted correctly then insert the other end into the ethernet port of your computer.
Give it a minute or so for them to detect each other, (for XP) then Start > Run > cmd - a black box will apear, type ' ipconfig ' then press enter, you will see various numbers and text appear, have a look for one saying 'Default gateway'. Next to it will be what's called an IP address, this is the local address for your router, it will usually look something like this: 192.168.1.1
For Vista; Start, then in the 'search' bar enter ' cmd ' then press enter, once you've done this you'll see a black box appear this should be window$ command prompt, type ' ipconfig ' then press enter. You'll see various text & numbers appear but try to look for one saying 'Default gateway' next to it will be an IP address for your router.
Take a note of it, as you'll need it in a moment, you can now close Window$ command prompt (the black box) and open up your browser - then enter the IP address of your router into the address bar, for the vast majority of routers this will display a login page. If you have the default login details for your router enter them here, otherwise they can be found with some googling.
Once you've logged in you'll be able to configure the router to how you wish, it's advised that you enable some form of encryption based security such as WEP or WPA as this will help keep your wireless network secure, MAC addressing is also useful but should only really be used with encryption based security as well.
You can now connect your router to your cable modem, instructions for this aren't provided here as it differs from the type of modem and the software version, but generally you need an ethernet cable to go from the modem port of your router (if you find that a ethernet cable is to large for this port you have a DSL router not cable) to the ethernet port on your modem.