It sounds as though you have all the right hardware (assuming that the USB adaptor you have is a WiFi adaptor).
To start with, have one PC connected to the router via the ethernet cable. The second has the WiFi adaptor.
The adaptor should have come with some setup software to ensure the correct drivers are loaded in.
The router should have come with setup software for use in the first PC.
Which ISP (broadband service provider) are you with?