is a separate issue from the networking. Once you have the wireless router set up, and each machine has a wireless network card you should find that they can both access the internet. You will probably have to click on the wireless network connection icon in the system tray and manually select the detected network before you can go online, but that should only happen once.
To set up the network you need to run the networking wizard - make sure that both computers have the same workgroup name (by deafult you'll be offered MSHOME) and that each computer is given a unique individual name. The all you have to do is enable sharing on any folders which you want to be able to access via the network on each machine, and all should be well.
DO NOT enable sharing on the root of a drive under any circumstances - that is, don't share the whole of your C drive for instance - there are serious security risks if you do.