I think perhaps you're going straight to "Turn WiFi On"? To connect for the first time, select instead "Settings", then go down to WiFi settings. That will show you a list of all WiFi networks the Kindle can see. Select yours (hopefully you'll be able to identify it from the networks listed - check your PC's network connections to see which network it is connected to and select the same one for the Kindle) and click on "Connect". Then it'll have the network name, and you can just enter the password for your router.
Once you've connected that first time, you should just be able to select "Turn WiFi On" and "Turn WiFi Off" without having to enter the password again.
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