fallen at the first post!!
the router plugs into the filter that's plugged into your phone socket. (it's a thinner cable with a smaller square plug - bung it in the back of the router (probably labled phone line).
you then need to plug your laptop into the router (probably a yellow ethernet cable)
open internet explorer .... enter 192.168.1.254
and then enter your details (id password etc)
just follow the instructions
disconnect the ethernet cable
then open control panel | network and sharing center
take the connect to a network option ..... and follow the instructions
when asked for your key .... enter the WEP number from the sticker on the back of the router.
... and you should be away