As well as the previous suggestions, I have my MAC filter set to permit only the listed MAC addresses to connect.
If you have never secured your internet, it is better to do it while connected to the router by ethernet. That way you cannot inadvertently block yourself!
Also have a pen and paper to make a record of your settings.
When connected to the router by ethernet, copy and paste the following to your address bar:
192.168.1.1
This should open the admin page. If you need to enter a password, try admin.
Now you can take your time and make all the changes.
Change the admin password.
Change the name of the SSID, and disable SSID broadcast.
Enable WEP, or WPA encryption
Set up the MAC filter. If you don't know your MAC address, post again.
Take your time and get to know the admin interface.
It really is straightforward when you know your way around it.