How can I set up a wireless LAN so me and my friends can play games together?

My computer has a little switch at the bottom that when I slide it-it says wireless lan on/off. My friends have similar computers, so they have the switch also. We can't seem to find out how to connect it to play games like Red Alert 3, Counter Strike, and Quake. I've played with one other computer with a wire, but I prefer wireless. I tried making a network and we all connected it but when we made a game server we couldn't pick it up. Any ideas? Thank you!