If you did not buy your router used, then chances are it comes with several different security settings. If your wireless network card is new as well, then we can just use the best settings and go for it.
Using your setup software, or going under the Security section of the configuration, choose WPA2 for your security. Your wireless router may have two WPA2 settings. If so, choose the PSK setting or the one that DOES NOT require a RADIUS server. Your router may then ask whether to use TKIP or AES (sometimes shown as CCMP) or AUTO. If it has an AUTO setting, take it. Otherwise, start with AES. (If you are interested in the why of these settings, read here.)
The PSK setting means that you need to pick a passkey for your security. This passkey will also have to be entered on each device in your wireless network. It is case sensative and can contain numbers and symbols. Remember that your entire wireless security depends on this one passkey, so don't be shy about typing. Make it long, use at least two capital letters, at least one number, and at least one symbol. Don't worry, you won't ever have to type this again once you get a device setup on your network. To make a strong password use a random generator, or make a sentence that makes sense to you. Something like
"IBrake4BroncosFans&NoOneElse!"
makes a hard enough to break key.
Don't forget to jot down your settings on the Wireless Configuration Worksheet.
Your wireless router may offer to security via something called MAC Address restriction. Don't bother. Anyone who knows how to hack a wireless network knows how to spoof a MAC address, and this setting may give you hard to detect errors down the line.
If you get asked whether or not to turn on remote management, choose no for now.