Your internet comes through the cable modem , so no set up disk is necessary , and £40 isn't too bad for a wireless router if Virgin Media support it in case it goes wrong , something they might not do if it is your own .
To set these things up is really quite easy , although you must remember that your cable modem will have " bound " itself to the MAC of your desktop so it must be turned off for at least 10 minutes ( actually pull the power cable ) so it can " forget " the PC's MAC and start again , reading and remembering the MAC of the wireless router instead .
So , power everything off , make all the ethernet connections ( modem ethernet cable to WAN port on outer , ethernet from port 1 on router to main PC . Turn them on in turn , starting with modem , let it settle ( all lights on ) then router , again let it settle , then PC . When PC has finished booting , open your browser and in the address bar , type in the IP address of the router ( typically 192.168.0.1 ) and press enter , the details of the default and password will be with the routers documentation , there will probably be a wizard that starts that will find your internet connection , when that is found ( test by opening another browser page and see if you have access ) you can then set up your wireless security ( WPA ) and then test with the laptop , entering the WPA code you set up when asked .