Setting up a router...

[f0xx]

So, a friend has cable connection and I am going to buy a Router so we can split it...

Can anyone tell me what do I have to do exactly? :P

[Markb]

follow the instruction booklet

[Weeble]

As helpful as Mark's answer is...

First router I got, plugged it in and it worked off the bat. No configuration needed (for cable connections, since they're essentially hard-wired to your house). Embedded in Mark's lucrative answer, however, he holds some information of value. To setup Wireless security settings etc, check the manual for default IP address/username/password, login via IE/Firefox and set it up as you see fit.
Generally for Wireless networks, WPA-PSK is fine as an encryption mechanism. Unless you're paranoid and have a feeling terrorists will sniff and crack it so they can use your internet to plot the destruction of the universe. In which case, increase your entropy!