Usually when you set up wireless encryption, you do it as follows. (Note that this is a rough sketch--most or all of the pertinent information should be in the router manual):
1. Get your router hooked up to a computer directly through ethernet (or wirelessly, sometimes--but that's trickier and doesn't always work).
2. Access the router configuration page in your web browser (usually 192.168.1.1, and usually with a default login and/or password)
3. Go to the wireless security page
4. Select your preferred type of encryption (128-bit vs. 64 bit, usually select WPA, etc.)
5. Enter a passphrase (at which point the router should give back a string of characters representing your router's encryption key).
6. Save Changes.
7. Now go to the computer that's going to connect wirelessly, (which should have some sort of wireless adapter already installed), go to the wireless options, tell it you're using encryption, what type of encryption you're using, and what your encryption key is (sometimes you can just enter your passphrase). Save changes, and see if you can connect.
In some (rare) cases, the router comes pre-secured, with an encryption key printed on the bottom of the router. In that case, you can skip steps 1-6. That does not usually apply to Linksys routers. (I think of that as a good thing.)
Oh, and if you're ever forced to reset your router, you'll have to do steps 1-6 all over again...
That all sounds harder than it really is. I promise.