You probably still need to go in the router setup and configure it.
The router probably came with a disk right? Run that disk (while plugged in to router) and it will get you into setup and run wizards and such.
Basically you will enable the wireless (of course), and set the SSID and security options.
When that is done, you then use your wireless utility on the laptop to search for networks and then try to connect to the one with the SSID you set.
If you set any security or WEP keys or MAC address filtering, you'll have to do more setup. But if you leave it wide open, at first, just to see if you can get in wirelessly.
Anyway, it's a start.