The security options for your wireless network are setup on your wireless router. The specific settings vary by brand, but there are a few principles that can help you be secure no matter what brand of device you are using. However, nothing I say can replace the valuable and concise information found in the product's manual, which I highly recommend you read.
Most wireless routers will come with a CD-ROM detailing the steps in this section, and providing a simple way for you to configure some settings. Follow these steps in the event that you lose your disk, or for some reason it isn't working correctly.
When you first plug in your wireless router it will not broadcast a wireless signal. Even if the box says "one button configuration" or something to that effect, don't do it. If you want to be secure, you must go into the configuration and choose settings yourself. Using a standard CAT5 Ethernet cable, like the one that probably came with your router, connect your cable or DSL modem to the 'Internet' port on your wireless router. Then, using another cable, connect your wireless router to your computer using any of the other available ports. You will probably have to reboot your cable modem, simply by unplugging its power source for a few seconds.
On the bottom of your wireless router should be a Default IP and Default Username and Password. If this information is not on the bottom, then you can probably find it in the owners manual. Open a web browser on your computer and type in the router's default IP. This will bring up a login prompt. Enter the default username and password. This gives you access to the router's configuration settings. Make sure that you change the login password right away, or else any other setting you adjust will be in vain.