>>> I would also expect to be taken to a setup page
>>> for the router, to set security etc, but don’t
>>> get that option. I can get on the internet via
>>> the wired connection,
Configuration of the router's wireless settings should be carried out using a computer connected by ethernet cable, *NOT* wirelessly. You should be able to access the router's setup pages by typing its IP address into your web browser. If you don't know its IP address, run IPCONFIG /ALL in a Command Prompt window and look for the Default Gateway address - that's the router's IP address. Go to "Start > Run", type in...
cmd.exe /k ipconfig /all
...and click OK.
I'd suggest that you change the router's default SSID (network name) to something more recognisable to you when the PC looks for Available Wireless Networks.
>>> and so far I’ve resisted the temptation to try the Virgin wireless install CD.
There shouldn't be a need to run any CD and, if the router came from Amazon, certainly not a Virgin CD.
Post back if you need further help.