Because there are so many different routers out there, I am not going to tell you how to set up your particular router. Everything I mention in here should be universal from router to router.
This is the post some of you have been waiting for. I am going to help you secure your computer and your data online. Many of you have routers in your homes and some of those routers are wireless. The first factor to consider is, do you use your wireless connectivity or did you buy the router because you figure you might need it one day? If you don't need a wireless connection, go into the settings and turn it off. Seriously. I mean it. The only thing you're doing by keeping it open is letting your neighbors have free Internet service and full access into your computer.
Another thing to consider is that all of the wireless protection in the world is not going to do any good if you don't change the password for the router itself. I just finished up at a school that was using two routers, one wired and one wireless. I entered each router's address and in the password box entered "admin." Guess what? You got it, I had access to both routers. So, change your password before all else whether the router is wireless or wired. And remember, don't use your dog's or kid's name for a password. Refer to my post, Secure Yourself, for a refresher course.
Now that your password is secure it's time to set up some wireless security (if you're sure you need wireless access). The best wireless security available today is WPA2 Personal (from here, simply WPA2 since Enterprise is used in business) with a randomly generated shared key. Since truly random strings are impossible from a computer, we'll have to settle for pseudo-random strings. The link to GRC's Perfect Passwords site is in my Secure Yourself post, got there, grab that middle string and use it as the WPA2 Shared Key.
If your computer isn't up to date for one reason or another, or a device you use is a little too old for WPA2, try WPA. I had trouble connecting my laptop, which was reverted to Windows XP Pro SP2, to my router which is configured for WPA2. Microsoft has updated this problem since and WPA2 can be used with XP Pro.
I used WEP encryption for a while, but found out that no matter how random the key is, it can still be broken by an experienced hacker in about a minute. Therefore, this security method is discouraged because it's useless. Stick with WPA or WPA2 for best results. Unless you live in the middle of nowhere with no neighbors or people around, then you don't need wireless security.
As one final reminder, if you want to keep from getting awful viruses, worms and trojans...KEEP WINDOWS UPDATED!!! It will also allow you to use the latest third-party security algorithms. I hope this helps you, but if you have questions, please, feel free to ask either in the comments or e-mail me (aliencg [at] gmail dot com). Remember, the only stupid question is the one that is not asked. Have a nice day.