you'll still need to have an ethernet card installed in your computer. All routers have to be configured with your username/password initially, and thyey all come with an ethernet cable specifically for the purpose.
Once you've set the router up for the first time you can disconnect the ethernet cable if you wish, and use a wireless network card. Many people leave the PC connected via the cable and use a laptop or another PC in a separate room - which involves a wireless network adapter.
My advice is that you return the D-Link router and buy one that has an ADSL modem built in - it will not cost much more, and you can dispense with the separate modem altogether. Setup is still via an ethernet cable however.