Hi Helina

I'm not an expert by any means, so hopefully someone with more knowledge than me will be along soon to sort you out properly, but in the meantime...
It sounds to me as though you do not have wireless internet access set up on your computer yet. So basically your modem is all set up, and you are able to access the internet when it is plugged in to your computer, but if the cable is unplugged between modem and computer, you lose your access.
You will need to set up wireless internet access. Have a look on the setup CD again and see if there are instructions on there. There might also be somewhere in your Control Panels (on the computer) where you can set this up.
The technical people will probably want to know which operating system you are using so if you can post that I'm sure they'd appreciate it (Windows7, Vista, Mac OSX etc.)
Cheers
Prue