Tosh - the best thing will be to follow the instructions for your router, to set up a type of security called WPA/TKIP. WEP, the older security type, keeps out casual snoopers, but can be cracked by someone who really wants to. We can't give you step-by-step instructions, since every router is different, but if you look for something like a "wireless security" page, it ought to be straightforward.
Once you do that, Windows will ask you for the key you put in to the router, before it will let connect. Or, if your PC has extra wireless hardware configuration bits installed, you need to follow the instructions for that.