You don't need your PC connected to anything for this. Click on the settings button, then click on WiFi and it will search for your modem. If it's working, it'll show up as BT-VOYAGER2110-3D (or something similar). Click on that and it should ask you for a password. Turn the modem upside down and look for a sticker. The pink one should say 'wireless key'. Type the number under that into the IPod and it should work.
If that doesn't work, check that the modem actually has a wireless component. If the sticker is missing or there isn't an aerial coming out of the back of it, you need a wireless router as well. If it does but your IPod can't find a network, you'll need to configure it to turn on the wireless component. I haven't done that on the voyager but Google should help.