Are you sure your wireless connection is working? Even though you are connected to the router your computer may not be getting the proper IP settings from the router. If you right click the wireless connection in the taskbar by the clock do and select View available wireless networks do you see your router in the list?
If you are making a connection to the router you should next check your IP settings. Go to Start, Run and type in cmd and click Ok. Then type in ipconfig /all and make sure there is a number such as 192.168.0.100 for the IP Address section. If its all zeros or a number that starts with 169.254.x.x then you are not getting the IP information from your router.
If you are getting a correct IP address then you should check your and then click on Setup. Follow the prompts and check the right information. You most likely do not have any proxy settings to fill in so have Internet Explorer do it automatically.
An additional test to see if you have internet connectivity is to go to Start, Run and type in cmd and click Ok again. Then type in ping www.google.com and see if you get a reply. If so then you have connectivity to the internet and its most likely a browser or firewall setting. If not then you do not have connectivity and may want to contact your internet provider.