Since I am unsure of exactly what you're asking; whether physical setup or config setup, I will give an overview of both.

Physically, it depends on if you want wireless or not.

If you want wireless:
Modem > WRT310N (setup wireless)

If you want wired:
Modem > WRT310N > Desktop PC

If you want both:
Modem > WRT310N > Desktop PC (setup wireless)


Config Setup

Once you have it physically setup the correct way, you should see your default wireless broadcasting as Linksys (unsecured)

To setup security or change SSID, DHCP Scope, Port Forwarding etc... you will need to login to your router's web interface. This can be done by figuring out your default gateway. The following steps can beused to figure it out.

Windows 7
START > type CMD in the search box > IPCONFIG (note default gateway)

Pre Windows 7
START > RUN > CMD > IPCONFIG (note default gateway)

Once you have figured out your default gateway type that default gateway address into your web browser's address bar (you have to be connected to the network to do this)

This will prompt for default username & password. For a WRT310N your default credentials are as follows:
username: admin
password: admin (it might also be blank)

Once you are logged into the web interface you canchange any setting your heart desires.


NOTE
Since this is a quick over view I ask you be more specific as to what you want and I/we can walk you through the process step-by-step!