There should be a half laminated foldout card for your router that will explain everything in (almost) perfect detail. To set it up you will probably have to wire into your router.
You'll be given an IP, and when you go there you'll be hit up with a Log-In box. Unless you've changed something, there will be no username and the PWord will be 'admin'.
You should encrypt the network. Write down the exact code they tell you on which channel. The router should broadcast 4 channels, but only one of them is real. You have to tell your laptop this too.
And the most important thing I can think of right now is to give your WiFi connection a UNIQUE name. For the longest time, my neighbor and I were running on a network of the same name, and we both could not figure out what the hell was going on. It would cut out and reconnect whenever it felt like it. It was getting confused because it was reading a network of the same name, but different codes. So one day I renamed mine.
Also, that router might be bad. I played AH and several FPS games over wireless without any problem at all, or even any slowdowns. This was probably through 2 or 3 walls, a fireplace and about 30 feet.