The CD supplied with your router should have a setup wizard for entering and configuring it. Or a manual supplying the ip address needed for internet explorer to access it.
You will need the password to access the router.
Once in you can set the name for your network and enable WPA(2) encryption this will ask you to enter an SSID key (password).
The next time any wireless device tries to access the router it will prompt for this key (password).
Cant be any more specific without the make and model of your router.
Hope this helps....