I recently did this and it was pretty painless.
I don't think you need the CD.
You need to get to the router home page via your browser and look around for the relevant option.
My router is on click here and I just dug around to find the encryption options. It was in the Interface Setup tab - but it will be different on yours. I added a long key.
Then I went round and plugged the key into all the PCs/Wii/DS/laptops hanging off the wireless router.
If you google "encrypt router" you will find a quadrillion pages on what options to choose.