Although now days people go wireless, I believe wire works best. Just to add my thoughts to mikes instructions which is all you really need.
I mounted my router in the basement and pulled Cat5e to every room in the house. I bought 300 feet of Cat5e cable, RJ45 connectors, crimping tool, regular plastic electrical wall boxes and RJ45, RJ11 (telephone) combo wall plates. The parts needed for my setup cost around $50. I mounted single DSL filter in the basement and run Cat5e from phone line entrance to the modem. With this setup I have computer-phone plugs in every room without the need for additional DSL filters. Find studs in the walls, make cutouts for electrical boxes, mount (plastic) electrical boxes, pull cable, strip and color code according to instructions found on the net and enjoy permanent, reliable setup. If you need to connect more devices you can always use hub or a switch.
Enjoy your Sony blu-ray player. I tried LG, Samsung, and finally settled for Sony BDP-S370. Because of different issues with others Sony was the best bet and for $86 at WM the price was good too. It has no WiFi, but who needs it if we have wire.