Hi Crzyfool and welcome to PHCF,
Take a look at
this, though it deals with security following the guide will also let you configure the router properly. You should NEVER, on the first connect, connect wireless but always use the supplied cable to access and configure the router.
When the router isn't brand new you've got a chance macfiltering is activated, take a look at the guide to find out how to disable it and what it is.
Good luck, Bram