I assume your router is the Edimax 6715 as I cannot find any D-Link products with that name\number. What you have to remember is that the router is a standalone device and should not require any software to work with it.
What you can do is visit the D-link support site at click here and then simply download teh drivers for your dongle to your desktop computer and then transfer these to a USB drive (if you have one) and install them to your laptop. It does seem a little stange that you have purchased a dongle and it dodn't have any drivers in the box, from this (and the) fact your Sony laptop did not have wireless as standard may indicate that it is rather old as any laptop brought wthin the past 5 years has wireless as standard fitted. Anyway, if you can let me know the make\model of both your wireless dongle and laptop it owuld help a lot.