go to the web address the router is on. One of mine is http://192.168.0.1/
another is http://192.168.1.1/
... just look at the bottom sticker in most cases or in the manual either physical or PDF and find yours.
Go to the security area (tab or whatever it has) and check the box to turn on the type of encryption you want to use.
your username will probably be admin and your password the first time will be password and it will make you change it. You can also rename it (I like using US_DEA or FBI_SURVEILLANCE, it makes people think twice about what they are doing when they see it in their neighborhood.