Follow the instructions that come with the modem/router?
For mine the setup is something like this, but they're probably all a bit different.
Wall
|
Cable that screws into the wall and into the modem (the actual internet connection), power cord (goes in any outlet)
|
Modem
|
Ethernet cable (this can also be plugged into your computer for wired internet)
|
Router
Then the router has a power cord too that plugs into any power outlet.
So basically, separate power cord for modem and router, screw-in cable from router to wall, and ethernet cable connecting router and modem. 4 things total.
Yours might need to be set up differently, so the best thing you can do is try to find the instructions, or google for your exact model.
After this, there should be a bunch of blinking/non-blinking lights on both the router and modem. Wait a few seconds then try to connect to wifi from your mac.