Your initial setup will require that you connect one of your laptops via ethernet ... just to communicate with your wireless router in order to configure it. Once it's configured and wireless is enabled ... you'll then be able to configure the wireless adapter on your laptops to connect with WEP or WPA security encryption ... depending on which you choose. It is recommended to use WPA.
The firewall suggestion that mike25unit made probably isn't necessary in your case. Windows firewall should be adequate and your router which uses NAT basically becomes your firewall behind your cable modem.
Here's a Microsoft link that describes what is necessary for setting up a wireless home network:
Again, I suggest you find instuctions specific for your particular wireless router that describes the steps for configuring and enabling wireless.