Look at the list of available networks. You should see yours and maybe a few from neighbours. If it says security enabled then that's a good starting point.
You may have been given a password on a card/letter when you started or it may be on a label on the router. It should have been a random mix of letters and numbers
You'd need to go back to the set-up screen and make any necessary changes. If you give details of the specific equipment you have I'm sure one of the experts here will be able to recognise it and advise.
You can also set up a list of approved devices. For example, my Sky Sagem router has something called a "Wireless Access List" (also known as MAC filtering), where I can put the MAC (Media Access Control) addresses only of the devices I want to allow access to. If you tell us your router make and model, we may be able to point you in the right direction.
MAC filtering is next to useless, if somebody is going to go to the effort of cracking wireless security they'll simply change their mac address to match that of the device sending the packets they captured to enable them to crack the network.
Just ensure you are using the highest level of wireless security that works with all the devices you want to use on the wireless (WPA2 should be OK for pretty much everything) and leave it at that.