A few things. In the instructions it'll tell you about a page to get to by typing in 192.168.1.1 (or similar number), in your web browser. once you get there and type in the default username and password,
In the wireless security section to the left, enable WPA-PSK and enter a password for the wireless. Also, untick the box saying 'broadcast SSID'. The next time you connect wirelessly to the router you will have to manually enter the network name and password.
also, change the default username and password (elsewhere on the 192.168 thing), from whatever the default is (probably admin and password respectively).