In Control Panel > Network and Sharing Center, there will be an option to Set up a new connection or network at the bottom half of the page. (Network and Sharing Center will, in the main window, display the networks you are connected to at the top, and then Set up a new connection or network and Troubleshoot problems below.
Click on that, and then when it prompts you to Choose a connection option, select Manually connect to a hidden network, then click Next. It will prompt you for your SSID, security type, and security key. Fill these in as appropriate, and then just click through.