Very confused with router?

Hello,
I may not be that computer savy, but I thought a wireless router should be me free movement from any and all connections to my laptop ports. I went through the connection detailed on the disk. Everything works fine, but I still have to connect the blue connection from my laptop to the router or I lose my connection to the internet. What am I missing here? What do I have to do to have my laptop with me in another room and still have an internet connection? thanks alot. rob my only computer is my laptop.