The setup actually works you through this pretty well. Make sure that you have funds in your open router account, I think the minimum is 5 bucks
From there follow the setup, it'll open the page for you and have you create a new key. Once you hit the copy button and assuming the game is open and you're on that stage of the setup screen it should connect automatically. From there it'll let you chose the model (Stick with deepseek unless you want to get experimental) and the provider that you want.
Make sure logging is turned off in your privacy settings and you should be good to go.
Input/output logging is in the OpenRouter settings on their website, under Privacy & Guardrails. There's 5 settings, Enable paid endpoints that may train on inputs, Enable free endpoints that may train on inputs, Enable free endpoints that may publish prompts, Enable 1% discount on all LLMs, and ZDR Endpoints only. The first 4 should be set to Off to if you don't want your inputs, outputs, and prompts to be used for model training, the last can be turned on to automatically prevent you from connecting to providers that don't have a Zero Data Retention policy, if you care about that.