You want to put WPA-PSK encryption on it with a good, long, random key.
To do this on most routers:
------------------------------------------
1 - Go to your router's configuration/settings (this can normally be done by opening internet explorer, and then in the address bar typing "192.168.1.1" (no quotes) and hitting enter, or "192.168.0.1" (no quotes) and hitting enter. If you are using a BT Voyager, you can type "voyager" (no quotes) and hit enter.)
2 - Find the Wireless settings. You will probably have to go into an "Advanced" menu, then into either "Wireless" or "Security" or something like that. If the router asks for a username and password and you don't know it, try typing "admin" (no quotes) for both.
3 - Once you have found your Wireless settings, look for something to do with encryption. Particulary, a drop box which may say "WEP", "WPA" or "Open" or something similar. Set this to "WPA-PSK" or "WPA2" or "WPA".
4 - Next, you will have to type in that long and random key I was talking about. To be unbeatably-secure, you should use a 63 or 64 random ASCII character key. You can obtain one of those from the 2nd box on this page http://www.grc.com/passwords . This will generate a random key for you and send it securely to you. Alternatively, you can use it and mix up the characters, just make sure there are still 63. Put this key into a text file and print a few copies of it. Keep it VERY safe. Don't lose it.
5 - Back to your router config and the WPA-PSK, copy and paste this big long key into the input box for the key. You may have to do this twice.
6 - Fine an "Apply" button and apply the settings on the router. You will now temporarily lose any WiFi connections to the router.
7 - Open the Wireless Network Connections window (the one that displays the list of available networks; can be found by right clicking the wireless network icon beside the clock and clicking "View wireless networks".) Click on "Change order of preferred networks" (to the left, beside a star icon).
8 - In the list of networks that appear, choose your one (it will probably have the name and/or model of your router). Click properties. In there, choose WPA and then copy and paste your key into the two boxes. Click okay on all windows you have open.
9 - Open the Wireless Network Connections window again, choose your router, and click connect.
You are now connected totally securely to your router. Another thing to look up is changing your SSID and hiding your SSID, and password protecting your router's advanced settings. I can answer that in another question though. Also, do NOT use MAC address filtering instead of encryption - it isn't as secure as it sounds. It is easy to bypass.