Start with either. With the power off on everything. Plug the cable or DSL modem into the router's WAN port. Run the cables from the router's ports to each of the PC's NIC. Then turn on the modem, let the lights settle. Turn on the router, let the lights settle then turn on each PC. See if they can get online.
For file sharing on Vista check this article
out. Loads of info =)
For file sharing on XP check this article
The easiest thing to do is turn on the guest account on in Vista and XP, makes it alot easier. And disable Windows firewall while you do this, no need to add that headache to trying to set this up.