You set what up with your phone? I don't understand.
Generally you have to use a computer to do the initial configuration of your router by logging into the router. Here you'll turn on Wifi, assign a SSID, turn on WPA, create a password, and other things.
Once you've done this, then you can configure your phone and other devices to connect to your wifi.
If you got a modem installed from your ISP, this will also be your wifi router. It will have some default configuration for the SSID and the password. This is generally printed on the modem, or your installer should have given it to you on a piece of paper.
Even so, it's generally a good idea to log into the modem and change the default SSID and password, as well as enable other security options. This will make it more difficult for others to use your wifi without your permission.