You should open up your web browser and type in the IP of your router, typically with linksys its 192.168.1.1 and then type in the password you set up for it.
Once in the control panel (cp) there should be a wireless tab, and a sub tab of security under wireless. There you can set up WEP/WPA. If your router supports WPA use it, since WEP can be cracked by easily ready to get tools off the internet. Even though the odds of someone hacking you is low, it is still more of a risk and WPA is just as easy to set up as WEP, so why not go with the better?
Put in a secure passkey for your wireless encryption, and make it a shared key. Then go into the wireless settings in all of our wireless clients and make sure you add the passkey you set up in the router to coincide in the client setting. A lot of times depending on if you are running third party client software or using the OS to connect you can configure all of it from the icon in the system tray on the bottom right of the screen. Once you try to connect it will prompt you for the passkey.