Sorry - been away. Lots of folks are suggesting the same thing: a modem/router with a wireless access point built in. Then you need a cable to join that to the desktop. You will use the desktop to configure the modem/router. End of list of bits needed.
Separately, the laptop will access via wireless. It sounds as if you have a wireless device in the laptop already (built in, as many are).
WHICH wireless modem/router is a game for any number of players. There are lots out there, most of which work OK. All the experience I've had with Belkin has been bad. All the people I've talked to who have the Netgear DG834PN are very happy with it.
Unless you are absolutely wedded to the idea of using that USB device, I'd get the Netgear or any of the others except the Belkin. Then read the fine manual that comes with it. It will take from 5 minutes to 2 hours to set up, depending on a variety of factors.