What brand of router/modem do you have?
I usually do two things:
Change the SSID and turn off broadcasting (so you have to know the name of the network in order to try to get on it)
Make a "key" which is basically a password for the network.
We can give you detailed instructions if we know the brand and model of your router.
Then, you have to go to Network Connections in the Control Panel and right click on Wireless. Go to Properties and click the Wireless Networks tab. Click the "Add" button. Enter in the name of the SSID you created, uncheck "The key is provided for me automatically" and then enter the key twice.