You need a router and a modem. The modem should be supplied by your internet service provider--it's the box that you plug the phone line/cable into. The modem connects to your router via the ethernet cable which should have came with your router or modem. On the back of your router, there should be a port separated from all the others and labeled "Internet" or "WAN"--but it'll be separated from the rest. That's where you connect the modem.
Then you need to connect to your router wirelessly from your computer. You must have a wireless card/usb wireless transmitter installed on your computer with the correct drivers which should have come with the card/usb on a CD. You'll have to see what the default SSID or wireless access point name is for your router in the manual. Connect to that one from your computer.
Then you'll probably want to set up some sort of encryption to keep other people from using your wireless and or seeing what you're doing on the internet--stealing your passwords, credit card numbers, etc. Look in your manual for that. You'll probably have to go to 192.168.1.1 in your browser, enter a default password and user name, then change some settings. If you post the model number of your router, I can give you more specific directions.