Connect the router to the phone line and connect the PC to the router by ethernet cable in order to set it up. A router is normally configured by entering its IP address into your web browser.
You need to configure it to connect to your ISP first of all and, when that is up and running, configure its "wireless" settings. When using a router, it is the *router* which has to establish the connection with the ISP, not a computer connected to it. If the router is booted and online, any PCs connected to it will automatically be online getting their internet access over the LAN.
Finally, install the USB adapter in the PC and set it up to connect to the router. When that is working, the ethernet cable from the PC to the router can be disconnected.