Hehe, yeah, most routers should work out of the box.. but you are strongly suggested to change/add a password and possibly change the name.
Well, all you do is connect it to any computer and enter the ip of the router (192.168.*.* the last 2 digits varies depending on brand and model), username is almost always "admin", password varies depending on brand and model as well, the most common ones are "admin", "adminpass", just a blank nothing or "password"... I suggest you look this up in the routers manual or google it.
Once in, you should be free to configure the router.