When you scan for "Available Wireless Networks" with the adapter's software, it should find the one which matches your router's SSID (network name). Select that one and "Connect" to it when you should be prompted to enter the WPA 'key'.
If you are running XP and using Belkin's wireless software, I would recommend uninstalling it and using Windows' Wireless Zero Configuration instead.
To do this, go into Device Manager, highlight the Wireless Network Adapter and click the Uninstall button. Then go into "Control Panel > Add/Remove Programs" and uninstall the Belkin software.
Reboot and Windows should "find new hardware". Follow the wizard and select the option to install from a specific location. Insert the CD (if it automatically runs to install the software, close it) and "Browse" to the Drivers folder. Windows should then install only the adapter's drivers.
In the absence of any third-party wireless software, Windows will use "Wireless Zero Configuration" so there shouldn't be anything to set up in that respect. In the Network Connections folder, right click the Wireless Network Connection and select View Available Wireless Networks, highlight the one which matches your router's SSID and click the Connect button at the bottom of the window. You should be prompted for any WEP/WPA encryption key and should then be connected to the router and have internet access.