It's much easier than a windows machine. I'm rather sure all of the new macs come with the airport icon in the menu bar at the top of the screen; it looks like a pizza wedge. Click it, turn it on, and then wait for your wireless router to appear in a list below in the same pulldown you used to turn the airport on. Click your wireless SSID name, enter the password if needed, and you should be connected.
I don't think I missed anything. Let us know it worked fine for you.
To change any system settings click the apple in the top left of your screen and go to system preferences; it's equivalent to the control panel in windows. The airport preferences are under Network. You should play around in System Preferences to acquaint yourself with the mac, that's how I remember learning. Have fun.