You can set a password on the access - you're looking for WPA or WPA2.
If you want to get more secure than that, you can enable MAC filtering, where the router looks at the ID of the hardware trying to connect and compares it against a table you set up. You allow your hardware (laptop, phone, game console) to get through, but don't allow other random MAC addresses you don't know to access it.
If you want much more detailed instructions, we'll need to know what router you have - manufacturer and model. The position of these options vary between manufacturers.
Comments
If you want to get more secure than that, you can enable MAC filtering, where the router looks at the ID of the hardware trying to connect and compares it against a table you set up. You allow your hardware (laptop, phone, game console) to get through, but don't allow other random MAC addresses you don't know to access it.
If you want much more detailed instructions, we'll need to know what router you have - manufacturer and model. The position of these options vary between manufacturers.
Some other basic items that many forget are to change your SSID name and changing your default username and password.