Actually, questions here first. Since you told us absolutely nothing about your setup, how can we help?
Passkey - WEP or WPA?
Password - not necessary
Change channel - Read the owner's manual since you didn't tell us your router make and model. Only need to change if you are having drop offs.
Stealing - Do you have security set up? WEP, count on it.
How often should I change my passkey? Is it necessary to do that?
How often should I change my router password? Again is it necessary?
How do I change the channel? Or how do I find out which channel would work for me? Is one channel weaker than the other?
And I have secured the network (the little lock shows up), but I know nothing is really THAT secure. How do I know if and when someone else is stealing?