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Change the default Admin password of your router.
Default passwords for network devices are published all over the web, so changing yours is a simple and effective way to keep others out.
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Turn off the SSID.
The SSID is the name your router broadcasts of your network. There are lots of free software apps that you can use on your computer to see the networks around you, what encryption they're using, what channel they're using, etc.
If you turn off the SSID, others won't see your network, but you will have to know the name of the network to join.
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Use encryption.
WEP is old school, but better than nothing. WPA is much better, but WPA2 is preferred and very secure.
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Use MAC address filtering.
Every computer has a unique MAC (Media Access Control) number. There are lots of ways to
find your MAC address via command line or GUI and once you do, you can go into your router settings and enter the MAC address for your computer(s).
This will only allow those computers to use your network - every other computer will be locked out. Very effective.
There are several other things you can do to control your wireless network, but those are the major ones.