There are several layers to basic router security. These are -
The router password
and Wireless security - of which there are three levels : None, WEP, and WPA-PSK2
You don't say if you went and bought this router or whether your ISP supplied it. Here, in the UK, if your ISP it supplied they now normally pre-configure security on it and supply you with the keys. If you buy it yourself, they normally come unsecured and you have to set security. Happily, this is not too difficult.
To access your router make sure it is turned on, turn on your computer and open the browser of your choice. Then type '192.168.0.1' (without the ' ') into the address bar and press enter. If this isn't the router's address you will find it on the back of the router, but this is the most common one. This will bring up the router log-in panel.
Here you are asked or a username and pass word. The username is the default - usually 'admin' - and the password is either the default or the one you changed it to, I'm not clear which password you changed. If it is still the default then you should change it when you get inside the router.
Once you are through the log-in screen you will come to a screen which asks you if you wish to set security on the router. Choose WPA-PSK2, this is the most secure level available to you, and choose a password or passphrase of any convenient length. MAKE A CAREFUL NOTE OF IT ! you will need it in a minute. Once you have done this, log out of the router and you will lose your wi-fi connection. This is normal and is nothing to worry about.
Click on your wi-fi icon on the taskbar and a list of wi-fi systems will pop-up. Select your system, tick the box 'Connect automatically' and then click 'Connect'. You will now be asked for your password or passphrase - I said you would need it ! Type it into the box, press enter and your computer will connect.
And that's it. Don't lose that password or phrase. If a guest or friend wants to use your connection while visiting, you will need to let them have, and you will need it if you want to connect any other devices by wi-fi.