What sort of router do you have?
You need to access the admin and set up pages of your router, preferably while plugged in to the router by ethernet cable, and go through the security.
Routers have different page layouts, so there is no simple answer without more information.
To access the admin page, after connecting by ethernet, you need to type the router address in the address bar at the top of the screen. It is often 192.168..0.1.
This gives instructions for one type of router
http://resnet.uci.edu/routersetup.asp
You should have similar instructions for your own.