Set one of these up at the weekend. Very easy to install, didn't bother with the CD, just plugged the patch cable into my ethernet adapter and browsed to 192.168.1.1 and configured it. Simply selected PPPoA and changed to the VPI/VCI to 0,38 for the UK and entered in the service username and password and it was on the internet. There is a lot of things on the main page which can be confuisng but most of them are not necessary, just read the user guide on the CD if you get stuck or press help on the right side of the page. The wireless was even easier to setup, just pick a SSID and a security option (Don't use WEP - is is not secure, use WPA/PSK).
As for making it secure, these are the things I did:
-Change the default username/password.
-Disable UPnP (stops apps/viruses from opening ports to the Internet without asking you.)
-Disable WAN administration
-Use WPA-PSK with a 64bit key (get a good one from www.grc.com/passwords)
-Turn on the firewall