I assume you are trying to make a WiFi connection?
First check. Is Wireless actually enabled on your router? If you have never used it then chances are it is turned off by default.
Secondly double check and then check again that you are trying to connect to YOUR router. With the world and his wife having wireless routers these days it is all to easy to get the wrong one
When you try to connect it will ask for your wireless password. Some routers provided by ISPs have basic security enabled with a password written on a label on the router. That would be the first place to look. But if the router is set up with WEP then it would be well worth while changing it to WPA if you can. WEP is fairly easy to hack these days so is not recommended you rely on it. WPA is much more secure.
If not then you may have to dive into the set up of the router and go to the Wireless settings page and see what if any password has been set up. Instructions for getting into the router set up should be in the manual for the router.