Connect using Windows Zero Configuration:
Right-click the wireless network icon in the system tray and then click View Available Wireless Networks. Click the network name you want to connect to and click Connect (bottom right). Now type your WEP/WPA key and click Connect. After you're connected, you can close the Wireless Network Connection window.
Connect using the adapter’s software:
Right-click the wireless network adapter’s icon in the system tray, open it and follow it to connect. The software varies from manufacturer to manufacturer but it is a matter of keying in SSID and security details.