It is worth noting that you can also (in some routers) set the SSID to be broadcasted or not. Choosing to not have it broadcasted will prevent others from seeing your network,  but this includes you as well, so if you get disconnected, you have to take a few extra steps to get reconnected.

If your router allows you to adjust speed, raise it to the highest speed. This basically reduces the coverage to increase bandwidth speed. This will prevent people from several houses over from connecting. But, may prevent you from surfing the web from your back porch, so adjust accordingly. Also, look for "Mode Setting" in your router's configuration if you have it. It will mention things like "G mode" and "Mixed mode". G is the standard speed and all new laptops come with G-speed antennas. Few people use any other mode, so setting yours to G-mode only will help reduce the likelihood of anyone with an older computer getting onto your network.

Finally, enable WEP or WPA on your router. These are nothing more than fancy names for having a passkey on your router. WEP is old, and is crackable, but like I said earlier, someone needs to really want what is on your network to get in, and sometimes it can take hours for them to crack your WEP key. Most routers allow you to put in a password and from that password, it creates a 128-bit keycode. It is that keycode that it creates that you will want to enter into your computer when you try to connect to your router and your PC asks for a pass code. I recommend writing this code down, in case family comes to visit and they have their laptop with them. It's a nice gesture.