Yes, you will have to log into the router's config page, and navigate to the wireless security portion. If you have the option, I would suggest using WPA or WPA 2 over WEP, as they are more secure. When you select your key, make sure to write it down.
Then, go to the wireless host, and search for wireless networks, and connect to it when you find it. When you try to connect, you should get a prompt for the password, and enter the same key you put in the router... that't it.
My wireless network uses WPA2 with a 63 character ASCii key.