The wire going out from your modem (currently going into your computer) goes into the WAN port on the router. Other ethernet cables then go from the router's out ports (numbered 1 to 4 usually) to the devices going online that way, namely your computer and the PS3.
Once you have the router hooked up and installed ( which should only take afew minutes) you should be able to get online with the PS3 using all Auto settings (most times) when you go into the Network Settings at the bottom of the System menu. If, by chance, this doesn't work you will need to enter some settings manually. When setting up the PS3 network connection you will need the router's IP address (found in the router instructions), the Subnet mask (normally 255.255.255.0) and the DNS addresses (usually primary and secondary- these are set by your internet provider and you should be able to find this in the router's status page).