Router first (just plug it in,) then the usb dongle (the security settings should be on a sticker on the bottom of the router) but as Stuart says if you have a problem you might have to first go wired. Once they're talking to each other I'm sure that everyone on here will suggest that you go into the router config (normally
http://192.168.1.1 on netgears) and alter your wireless security setting to WPA or WPA2 and then alter your PC's wireless network to the same setting, it'll makeit a lot more secure.
Talking about unsecured wireless I plugged my PC into a small little 12 element 2.4ghz Yagi last night and scanned around finding 12 networks, 5 had WPA+, 4 on WEP (all BT home hubs) and 3 unsecured
