Nip down to PCWorld/Dixons/Comet or whoever (if you can) and get a CAT5 (or CAT6) patch cable (not cross-over). It should be at least 2m in length so that you can be comfortable sitting while playing with the lappy connected to the router.
Your laptop almost certainly has an ethernet 10/100 socket in the back and the cable should only be a few quid.
Once you've joined them together, chances are that you'll need to type 192.168.0.1 into the address line of your browser and that should let you access the router's log on screen. If you have the user manual/docs they will tell you what the default username and password are.
The next step will be setting up your encryption - please don't leave the thing wide open and un-encrypted.
If you need help with that bit, let me know and I'll see what I can do from afar
ST