Need help setting up printer - Please!!

[#1]

I've just bought a Brother HL2135W laser printer and I'm trying to connect wirelessly but after 3 attempts I'm just getting an error message printout that connection failed.
I have a Thomson router which has BSWIFI certified and SSID on the back. 
The instructions say to press the button at the back of the printer then the button on the router and the two should connect - but I just keep getting the failed notice.
Earlier on in the instructions there is an illustration saying choose peer-to-peer network printer which I've done, but alongside that option is a picture of a usb cable.  Does this mean I should connect a usb cable, even though I'm connecting wirelessly?
I'd be so grateful for some help.  TIA.

[#2]

When wireless printers "just work" using a quick setup process it's great, but sometimes they don't, at first.
In that situation it's best to connect to it from a PC with a USB cable then, when working, update the settings to switch to wireless entering the network details (SSID and key of the router) just as you would on a PC.
The printer manual or software should explain how to do this.
Some printers have a control panel to allow you to directly enter the SSID and key (without using a PC) - again RTFM.

[#3]

Thank you - did what you suggested and it's up and running now.  This was supposed to be 'easy' to set up - so it might be if the manual didn't refer to several models and state that the illustrations might be different to what you see on screen - not helpful to we technically-challenged folks!
Thank you again

[#4]

Two points.....
1.... if you don`t understand/read the manual...... ask on here
2.... never mind 1.... just ask on here !    !    .