in esence what you do is:
1. go into configuration page (check your router manual or documentation)
2. go into wireless
3. change the defaul SSID (that is the network name or Access point name or your router name)
4. make a note of the SSID you have defined (you needed when setting up your client computer)
5. if you want you can stop broadcasting the SSID (recommeded.. that's why you noted that on previous step
4. set up your encription method (wep, wpa, wpa2).. wp2 is recommeded or wpa if wpa2 is not avaliable or wep if that's the only option as it is better than nothing.
5. configure and note you passphrase/key (you need this to configure your client computer)
this is a good article that will give you some fundaments
and this is a walk through securing a router with an example for a popular linksys router:
and this is a wlak through securing a router with an example for a polar d-link router:
other routers may be different but in esence is the same.
let us know how it went!! good luck!!