I take it you're referring to wireless rather than the router itself?
With an idea what router you're using I could offer some more specific advice, however what you should be looking for in general terms is the wireless security features. You should have the option to choose between a few things such as WEP, WPA-PSK, WPA2 etc. These are all different security methods for ensuring people can't arbitrarily view your traffic. I would highly recommend WPA-PSK or if available, WPA2.
From there you need to enter a 'pre shared key' (PSK) which is your basic alphanumeric password. Hopefully you can hit apply or similar, save your settings and exit.. From then on any wireless devices accessing your network will be prompted for that PSK.
Hope i'm not barking up the wrong tree!