First of all, the Linksys WRT54G is suitable for use with Cable Broadband (NTL or Telewest) is that what you are connecting to? It doesn't have an ADSL modem incorporated which you need for ADSL services via the phoneline.
Although CDs with a Setup Wizard are often provided, a router doesn't install as hardware or software in a PC and it is probably as easy to set it up via its web-based interface accessed by typing its IP address into a web browser. The WRT54g's IP address is 192.168.1.1
<<< I have no clue what to put for my host name >>>
Leave it blank. This is only entered if required by your ISP.
<<< how to make sure that my wireless network can only be accessible by password. >>>
By enabling encryption such as click here it will be necessary to enter the "key" which matches the router's before the Wireless Network Adapters will be able to connect.
<<< I'm just learning what SSID means, I still have no clue what it actually does >>>
The SSID (Service Set Identifier) is actually the wireless network's name. This is what the Wireless Adapters should find when you scan for Available Wireless Networks.