There are a million (almost literally) different types of router - each will have their own way of doing it.

Essentially, what you are looking to do is turn on an 'encryption' service within the router (WPA, WPA2, etc usually available on most modern routers) - and you will need to set up the wireless connection settings on your client device to match.

Best route for you is to either a) read the manual for your router (if it came with one) or b) look up a manual online.

This should explain the necessary steps and options.

Best

Jim