Once you've connected your router via an ethernet cable and can get to the 192.168.1.1 page (or similar address), goto the wireless settings part of that site.
You want to enable encryption: WPA-PSK if it asks you, and not WEP (if you have the choice anyway).
Then you want to choose a good, strong password: letters and numbers, ideally random. Write it down somewhere and keep it safe.
Then also, change your SSID name of the wireless network (it'll say it somewhere on that 192.168 site) to something that you can remember, and write that too. Also change the password of the 192.168 page itself: it's probably set to 'password' or similar now, with a username of 'admin'.
Finally, there may be a box ticked to say 'broadcast SSID'. untick this, so that the SSID is no longer broadcast.
that'll be about as secure as you can make it.