Connect phone line (through ADSL filter) to new router and then connect router to PC network connector using a network (ethernet) cable. If you are going to use router by wireless connection it is still preferable to perform initial set up using wired connection.
Use the Set Up guide and Smart Wizard CD that should have come with product. These contain full instructions and are more comprehensive than can be covered in response here to your question.
Link to Set Up Guide click here
If you intend to use wireless connection to router you are very strongly advised to set up wireless security to WPA-PSK.
If there are things not understood or problems, then post back for further help.