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Initially it can be easiest to setup the router using a wired connection between it and a PC. Once you have got your configuration setup (wireless security and such like) you can switch all your connections between router and PC to wireless if you wish.
When you have the new connection installed, within reason, you can ask for the cable modem to be installed anywhere convenient ot you in the house. Just bear in mind how the cable might get to it, from outside the house. The cable can be run around external walls if that helps (not much help on terraced houses I know).
When buying a wireless router, make sure for use with cable that it does not include an ADSL modem. I'd also suggest you get one that is .11g rather than .11b standards, as the 11.b is barely capable of supporting the faster braodband speeds becoming available.