It would be very wise to have a "wired" or ethernet connection from your desktop to the router. Setting up a router over wireless exclusively can be quite risky and a right pita!
If your desktop was built in the last 3 years or so, it will probably have an onboard NIC (Network card) and the socket will be near the USB etc ports as shown in the bottom insert (Next to the audio connectors):
If you don't have an onboard NIC, then you'll need an add-in card (Around UK£5):
You'll need to install the NIC drivers and set the computers to "Never Dial A Connection", set up the TCP/IP options for the NIC, set up the wireless and TCP/IP options on the laptop and set up the router and WAP.
This all sounds rather complicated I know, but believe me, it isn't.
When you have all the necessary components, post back and I'll take you through it in a step-by-step guide.