Well, that depends. What type of wireless router do you have?
In general you would have to bring up your browser and type your default gateway into the URL bar at the top. That would bring up a box asking for a user name and password, if you never set one it is usually admin or password for both. Then you would be let into the router settings. Once there you would look under your wireless settings tab and there should be options for various types of wireless security.
Such as a Encryption Protocol like TKIP
A type of protection like WPA, WPA2, WEP (64 or 128 bit)
Also should be a place for a security key and a pass phase.
You set all those up AND WRITE THEM DOWN! The there should be a button there to save the settings.
Once you do that then you have to go to EVERY wireless device you have and put those same settings into the network set up area or they will no longer be able to connect (which is what you want, nobody without the key and pass phase can leach off your signal)