There are three types of security algorithms availalbe in modern wifi routers: WEP, WPA, WPA2. i'd recommend selecting WPA or WPA2 as these are more secure than WEP. select either of them and then give a PSK (pre-shared key) in the network/security key option. let it haf a combination of numerals, upper case and lower case alphabets for better security. a key like ser89dME7da1we3 is a good idea! note it down. save, logout, exit.... then log back in the same way to the config page and ensure whatever you did till now (ip changing, ssid, wpa psk etc.) haf been saved. ensure that logout, exit and then unplug the ethernet cable.
goto the wireless connection wizard in control panel in ur laptop. go thru the wizard and select connect to a network. it'll search for any available wireless connection. it'll now detect ur router wid the ssid u gave (if the ssid broadcast is not turned off). click on that network and select connect. u may need to key in the ssid in case you'd disabled 'ssid broadcast'. it will now ask for the WPA PSK. jus type in the same key that u set in the router config page and then allow it to connect to the wifi network. select save connection/connect automatically. you can now see a wireless network connected icon in the system tray.