Find the instruction manual to your router, either the copy that came with the equipment or find a copy on t'internet.
Read it.
There's two things you are looking for. One is how to set up WPA security, which is pretty much how the last guy said.
This means that people will have to know the password before they can access your router.
DO NOT USE A DICTIONARY WORD FOR ANY KIND OF PASSWORD, EVER. They are relatively easy to crack.
The best passwords use a collection of uppercase and lowercase letters, plus numbers.
The other thing is to see if you can set your router up to only accept wireless connections from specific devices according to their MAC address.
Best advice is to RTFM.
(Just in case: Read The Flaming Manual)
Allan, December 2009