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Here's a picture of the example device:

System Requirements: The devices themselves are not Windows PC or Macintosh specific in a general sense, however, the setup software can be. Since most of these devices are configured with a web browser, it stands to reason that you should be able to use either a web browser in any operating system. Some devices (unlike this Linksys) also include a built-in printer sharing component. You can investigate this alternative if desired.
Things you need to know: We assume, for the purposes of this document,
that you have one PC or Macintosh connected to the DSL or cable modem prior
to purchasing a network sharing device. You need to use that PC to get necessary
network settings which will be used to configure the network sharing device.
PC, Windows 95, 98, ME: Select Start-> Run...-> "winipcfg" without
the quotes.
PC, Windows NT, 2000, XP: Select Start-> Run... -> "cmd" without
the quotes.
In the window that appears, type "ipconfig /all"
Mac OS X: Open the System Preferences from the apple-menu. Select the network
icon, then the TCP/IP tab.
Mac OS 9: Open the control panel called TCP/IP.
Write down your settings. The main thing you need to know is the proper DNS
settings.
1) Plug the ethernet cable for the DSL or cable modem into the WAN port on the Linksys device. Plug in any wired PC connections to the ports labelled 1-4 starting with port 1. If you have one wired desktop PC, plug this into port 1. If you have a wireless laptop (or other device), then you can simply turn the Linksys device on in most cases and immediately receive an IP address from the device.
2) The most important first configuration step is to assign an administrator password to your device. This will help you keep unwanted strangers from accessing your device and making changes without your knowledge. To do this, click on the "Password" tab, then type your new password twice and click the "apply" button.

3) Use the Setup tab to configure relevant network configuration information. To use wireless, you need to click enable under "Wireless:." Choose a hard to guess network name (SSID). Enable WEP and choose a key. You will need to enter the same key on any wireless computer that wishes to connect. The "Obtain an IP automatically" means your device will get its network information automatically, which is usually the correct choice. Write all your settings down so you can use them to configure any wireless computers that will connect.

4) The status page basically lets you know if things are working or not. You can release and renew your IP address from here which may be useful for troubleshooting, and you'll see your globally routeable IP address here under "WAN IP Address"

5) For this example, we have DHCP enabled so that local PC's can automatically get their private IP addresses from the Linksys device. This is where you fill in the DNS information.

6) You can enable logging to see if external hosts are trying to connect to your home network IP address.

7) To enable Mac address filters, you need to see the Advanced tab and click on the Eit Mac Table button. From there, enter the Mac addresses you wish to allow, but do not check the "filter" box.
8) Wired connections are as simple as plugging the PC into the correct port. For wireless connections, you will need to specify the correct SSID (network name), WEP key, and use an wireless card with a MAC address that is allowed.
For additional assistance configuring Linksys devices, visit the Linksys web site.