Go to Control Panel > Network Connections
The USB Dongle should appear in there
Right Click on it and select "View Available Wireless Connections"
It should detect the wireless connetion for your router, if it does just highlight it and hit "Connect"
You will need to set up all the wireless security features for the router (this is usually straight forward enough), look in your manual for setting up WEP keys and MAC address filtering
Have fun!