In short notes;
Activate any of the security versions (for business you should choose more carefully, but as a home user most is good enough) in the routers settings choose a password, save settings.
Your computer will be disconnected from your network, rescan for available networks and type the password, and you should be done.
Sometimes you will have to remove the preferred network in the computer for it to find it correctly again.
For more security choose the higher security versions, limit the access to your MAC-addresses and disable the network broadcast.