If you mean other authorised users I.e. friends and family, then hard luck, that's the way it works.
If however, you mean random strangers are connecting to your network & using it to go online, then you are a victim of crime! I believe someone was sent to jail for doing just this a few months back. First port of call is to encrypt your router, to stop others logging onto it. Go back to the manual & follow the instructions or in your internet browser, type the following address: 192.168.0.x, where x = 1. if that does not work, type 2, then 3 and so on, until you access your routers setup page & follow the instructions from there.