You prevent "unwanted guests" from accessing your wireless network by encrypting it with WEP/WPA/WPA2 in the router's wireless settings. If supported by all hardware, use WPA2 which is the most secure.
You can also use MAC Address Filtering so that only those network adapters whose MAC address has been entered in the router's settings will be able to connect.
To connect computers that you want to access the router wirelessly, they would scan for Available Wireless Networks, you would select the one whose SSID matches that of your router and click the Connect button. When prompted, enter the encryption key and you should connect. If MAC Address Filtering is enabled, you would have to have keyed the wireless adapter's MAC address into the router's settings before trying to connect.