You can go into the router's setup page (usually 192.168.0.1 or 192.168.1.1) and enable wireless encryption. Of the two most common standards, WEP and WPA, WPA is more secure. WEP can be cracked by anyone with a brainstem in a matter of minutes, but WPA (especially with a very strong password) is still difficult to crack. You can set up WPA with a password on the router, then you will have to enter the password (formally known as a Pre-Shared Key or PSK) on any computer or device which wants to connect to the network.
Another security measure you can take is to turn off SSID broadcasting for the wireless network from the router. SSID broadcasting is what causes your network to appear in lists of available networks created by devices or computers seeking to connect to a wireless network. Turning it off stops the router broadcasting that your network is available, so nobody will be able to connect to the network unless they know the SSID (the name of your network). If you disable SSID broadcasting, you will need to enter the network name as well as the Pre-Shared Key on any device wishing to connect to the network.