HERE is a guide to finding your security page. Look at your router manual for specific instructions, but if your gateway router is at 192.168.1.1, type that into your browser on a computer attached to the router, then enter your ID and password that are probably still the default values in your manual.
You should then go to the wireless security section and select a security type, WPA2 would be best if all your wireless devices support it. Enter a passpharse and write it down, you will need it for all your devices. If you are concerned enough you can also use MAC address security in your router to only allow specific devices with those addresses to access your network. Finally, you should change your router access ID and password and write it down so you can get back into your router again without resetting it to default values.