Lol it's realy not trying to trick you! I have to do this everytime I set up my router (which is all the time because I seem to have a family of idiots who mess up our internet ALL THE TIME)
Plug your router into the cable thing you mentioned before, then the ethernet into the router and the back of your actual PC. When it gets to the part of the installation that says unplug your ethernet cable unplug it [when it says you do not need this anymore, it means you do not need it if you are not planning to use the router as a wired connection. and as you are planning to do this, you do need it, its just really badly worded, don't worry about it]
Once the router is all installed, plug in the ethernet cable back into the modem and the pc.
Wait for the light to come on your router and you should be able to connect in exactly the same way as before.
You are now ready to set up your wireless connection from your laptop.