Mechanically? You open up a browser page on the computer and give it the numeric IP address of the router. This address should be either on a sticker or in the papers that came with the router. There should also be some indicator of the password you will need to actually log in as an admin because making a change to a router isn't something you do lightly.
Once you are logged in, there should be a menu of some sort. Exactly where depends on the router brand, but there will be a "Settings" menu option or a "System" option. You will look there for something that will let you set the time zone. HOWEVER, it is possible that your router takes a time-stamp setting from your service provider, particularly if that router came from that provider as part of your monthly fee. It is also possible that on some routers, there is no such setting, particularly if it is an inexpensive model.
There is also this to consider: Unless you are attempting to put some sort of complex time-based rule on the router, assuming it even would support such a thing, there is no particular reason to change the time zone on the router. You normally would just change the time zone on the end items (like your PCs) and let the router (which is in this case just a middle man) be fat, dumb, and happy in its own little corner of the universe.