Yes you need to run the software for both,run the adaptor software 1st,you should have a wireless icon in system tray when finished.
Then run the router software and get that up and running.
Keeping the ethernet cable connected,go to the router homepage,by typing in 192.168,0.1 in the address bar in your browser.
Click on the wireless tab,security/encryption,here you will be asked for user name/password.Then enter the wep key,normally found underside of router,enter the key and click apply.
Now go to the wireless icon in system tray,right click,view available networks,connect to your network,enter wep key,and you should up and running wirelessly.
You can change wep key to a more secure wpa key after