Access the Administration Panel of your Router
This can be done by opening your internet browser (i.e. Internet Explorer, Firefox, Safari, Opera, etc.) and typing in the address bar 192.168.1.1.
Once you hit enter, an authentication panel would pop-up requiring you to enter a username and password.
Note: If entering 192.168.1.1 does not bring up anything, your default gateway may not be that. For Windows, just go to Run command (Windows Start button, then click Run), and then type "CMD". A DOS prompt would pop-out and you would just need to type, "IPCONFIG". Look for the words "Default Gateway", the numbers beside it are the ones you need to enter into your browser
Usually, its 192.168.1.1 or 192.168.0.1 so most likely you wouldn't have to do that.
The usual username and password is "admin" (without the quotes). For some routers, the username is admin, and the password is blank. If you haven't changed this, the username and password is the default. If you don't know the default username and password, you could check it at www.routerpasswords.com
Set the SSID or Username
When you're inside the Administration panel, just go to Basic Wireless Settings and find the setting for Wireless Network Name or SSID.
You should key in your desired username on the field of Wireless Network Name or SSID.
Don't forget to Save the Changes you made.
Notice that I've enabled Wireless SSID Broadcast? If it's enabled, once a computer detects connects to your router, the computer would just need to key-in the password. If it's disabled, you would have to key-in the username and password before you could connect.
Although it is more secure to set Wireless SSID broadcast set to disable, some of my devices (especially mobile phones) can't connect when it is disabled. So, I had to enable SSID Broadcast.
Set the Password.
You should now go to Wireless Security. There you would see the Security Mode. To make things simple, just choose WPA Personal. (UPDATE: For bettery security, you can choose WPA2 Personal - the next steps would still be the same)
You should now set a password by entering one under WPA Shared Key.
After that, save the changes you made again.
And there you have it. It's very easy to set a username and password for your Wireless Router or Wi-Fi router. Once you set one, only those who you have informed of the password would be able to connect and use your Internet connection through your Wireless router - so keep your password safe.