It very much depends on how your router is configured. This is done through a web-page interface that is accessed by typing an IP into your browser's address bar.
Security should be listed among the menus and options. At the very least, I would expect it to have WEP available, but WPA is very much preferable.
If you give us a bit of info about your configuration method and what the options are like, someone will guide you to the right setting.
Once you have entered a key of your choice (don't be obvious with it - you'll make it easy to crack or guess. A strange mix of letters, symbols and numbers is best) you will need to enter that key just once on any client PC that is wirelessly connected. This will be asked for when you first try to connect to the secured network.