Read the manual...
WPA as a minimum WPA2 can be harder to conect things to (xbox, wii, ipods etc up to you)
but basically you connect to the router via web browser (see manual)
and select a tick box for security, put in a key (password) dont for get it, and thats it, when you try to connect it will ask for the password.
you can also add things like only your mac address can access the router. (in a dos window run cmd)
type ipconfig /all the number that looks like this 00-d2-43-ff-44-00 is your mac address.
your ISP cant really do anyting more than what you already do. you could look at other things like windows firewall or zone alarm, bu tthey may be a little complicated if your the sort not to read a manual before asking for help (not a dig im the same)