Make and model of the adapter ? Operating system ?
Some of these devices can be very fussy about the install sequence. I would be inclined to fully uninstall it and re-install it, checking with the install guide that I am doing it in the correct sequence.
Once you have it installed correctly clicking on the wi-fi symbol at the right hand end of the taskbar should bring up a list of routers within range. Check that your is on this list, then click on it and tick the box 'Connect automatically' then click 'Connect'. Assuming you are using WEP or WPA-PSK security (much preferable WPA-PSK) then enter your password and you should be connected. Any further problems, post back.