Secure Wireless Options

[alreed]

Hi,
I just had to get a new wireless router for my cable modem and was wondering how to create a secure wireless network. Someone did it for me last time, but he's not in the country at the moment and I think I should work it out for myself by now anyway. If anyone could help with step-by step instructions, I'd be very grateful. At the moment I'm connected to the wireless fine, but everyone else could connect to it too and download stuff I don't have any say over. I've tried Network Setup but it says error when I try to get it to recognise a network I've just made, I so must be doing something wrong.

Thanks.