I am guessing you are using a wireless router, some wireless routers have a built-in firewall which you can configure. You can access most router settings by typing 192.168.0.0/1 in your browser.
Here is something on Windows firewall;
Also you can use port forwarding & NAT to configure remote access through the firewall. I don't think I can explain the whole concept here, you can take a look at;
The first thing you should do is have WEP enabled as michael has already mentioned, however if your router has WPA support then you should go for WPA as it is better than WEP.
You can also find a lot of detailed help on these topics by just googling for it ... :-)