is done with a number of tools built into the router.

1) MAC filtering, will allow you to disallow any wireless device based on it's MAC address.
2) WEP/WPA, will provide an encrypted key generated at the router and used by your computer to allow access.
3) Disable SSID broadcasting to hide your wireless networks existence.
4) Change the default password of the router.

All of this and more is covered in the routers manual.