You can go into the router and under the security tab you have the option to use WEP or WPA to encrypt a passphrase or password for the router. It's adviseable to write this passphrase down and keep it in a safe place so you don't lose it. WPA would be the better method to encrypt.
To get into the router you need to open your browser and in the address bar type in the default address of your router and a user name and password box will open into which you can put the defrault user name and password that came with your router.