You will need to go into the routers config page. This is accessed via Internet Explorer and has an address 192.168.x.x. (If you are unsure what this is then go to run, type 'cmd' and press enter then type 'ipconfig /all' and press enter. Type the number listed beside default gateway into the address bar of IE).
Once in here, there should be a security section where you can enable encryption. There are 2 types, WEP and WPA. They are both good but WPA is stronger.
Set a password or let it auto-generate one (I think they are quite fussy about the lengths of the password you choose) and then apply. You will now have to enter this key before you are able to wirelessly connect to your network.