During the initial router configuration, the installation wizard prompts you to set an administrative password and then sets up your router for WPA-PSK mode.
During the installation of the client, you are instructed to push the button on the front of the router. The backlit button, located on the lower left front corner of the router, is actually the "bridge" logo of Cisco (Linksys is a subsidiary of Cisco). Once this light begins flashing, you'll know the router is in configuration mode. Once in this mode, the client installation wizard instructs you to click on an icon, and the rest of the configuration is completed automatically. Within a few moments, you'll receive a confirmation screen indicating that you've successfully connected securely to the wireless access point.