There is a website you can go to to set-up your wireless router, the specific site I'm not sure, shoudl be printed in the instructions. It is a direct access to YOUR router/modem, so you'll have to access it by a computer that is on the network of the router/modem.
At this site, you can set-up all kinds of options. One is SSID display, turn that off. With this turned on, anyone with a wireless card can see your network, with it turned off, you'll have to manually input the wireless transmission ID. Speaking of the SSID, change it from the default name to something specific to you, try your pets name or something.
Change the password from the default to something else. The password will need to be 29 or 58 hexadecimal digits for maximum (256-bit) security.
You can also choose to manually assign IP addresses to the devices that will access your network. By default, most modems/router will assign an IP address automatically, which means anyone who tries to connecto to your network will get thier own IP address. Turn this automatic IP addressing to off so someone would have to manually input an IP address (and other information) to gain access to your network. You may also be able to limit the maximum number of active IP addresses...set that number to whatever would be the maximum nuber of devices that you would use on the network at any given time.
Outside of that, make sure your computer has a good firewall. The router/modem will also have a built in firewall, be sure to use it and keep it updated.
With all this, your wireless SSID won't be visable, so no one can even see your network. Should they figure out the network ID, they won't be able to get on because a 256-bit password is near impossible to crack, and should they crack that, there isn't an open spot for them to leech of off. Sounds complicated, but it really isn't once you see the interface in front of you.