Here is how your router's config page should look. click here For obvious reasons, I have replaced my key with asterisks, but you get the idea.
Once you log in to the config page (which you would be wise to keep passworded) select security from the left pane and choose WPA with PSK (pre-shared key). Your key should be as obscure as possible to defeat auto-generators; [email protected]#4723 for example.
Then when connecting a wireless device to your newly secured network, you will need to enter this key when prompted upon the first connection. The key will automatically be stored by the wireless device (a laptop in this case).