Ok weird.. where am i getting Internet from??.. help please.?

ok I have a laptop (Vista) and a PC (XP) i wanted to go wireless so went to Wal-Mart and got a Linksys Router and the guy told me that if my PC didn't go wireless I had to buy a Wireless-G USB Network Adaptor in order for it to get signal from the router, so i bought this and the router, I installed the USB network adapter and this network window came on and I clicked the Connect on... and now i have Internet but the router & my DSL modem are not even conncted or on.. so where am I getting Internet from? am I stealing signal from some other router cuz I connected to an unsecured network?? How can I fix this? and is this safe or harmful??... thanx