I agree with both my colleagues above, but I feel they have each got half the story without connecting the two halves.
Zingo is entirely correct, you should have your network secured, and TsVk! is equally correct when he mentions WPA2,or more correctly WPA-PSK2, but neither have explained how to achieve this worthy condition.
A lot of browsers supplied by ISPs today come with security already pre-set. I don't know where you live, or even which country you live in, but in the UK Sky and BT, at least, both supply routers with security pre-set and the access codes are printed on the back of their respective routers, but if you bought the router yourself, it is almost certainly wide open and you have to do it yourself. I will work on the basis that you bought it.
First of all, you have to access the router control panel from your browser. The most common way of doing this is to type 192.168.0.1 into the address bar in your router then pressing 'Enter'. There are other possible codes, but your router documentation will give this information.
This will usually bring up a box which says a Username and password are required. Very common default ones are 'admin' and 'admin' (sometimes with an upper case 'A') or - don't laugh - 'admin' and 'password'. Again, your router documentation should give these. And if the password turns out to be either 'admin' or 'password', THEN YOU SHOULD CHANGE IT AT THE EARLIEST OPPORTUNTY, which is just about to come up !
You should now have access to your router's control panel. If you look around, you will find an option to change the router password, and if it was either 'admin' or 'password' change it to almost anything else and make a note of it !
Then, you will find a section on the Wireless LAN, or WLAN. In this you will find a section on security. Here you have several choices - none, WEP or WPA-PSK2. There may be others, but these are the ones relevant to you and the best one to choose is WPA-PSK2. This will require you to generate a pass phrase from 13 to 64 characters long. It can be anything so long as it is memorable. A friend of mine uses DunfermlineFCareOK! - she is a fanatic fan of her local football team. Whatever it is, make a note of it. And you will normally have to enter it twice into the control panel of the router when you pick WPA-PSK2 security. Now log out of the router control panel, and you have secured it.
Write the access password and your WPA-PSK2 passphrase on a sticky label and stick it on the back of your router - that way you can always find them again if your memory fails.
Now you have to connect all your devices to the router. At your computer, click on the little icon on the taskbar for your wireless connection and you should see your router in the list that pops-up. Click on your router in this list, and click 'Connect'. After a moment or two another box will appear saying the router requires a passphrase. Type your passphrase into the box supplied, and tick the box that says 'Connect automatically'. After a few seconds, you will be connected.
You will need to repeat this process for every equipment that connects to your router by wi-fi - other computers, printers, mobile phones - but your network will be secured against other people using it unlesss you give them the passphrase..