So you have a wireless router. Aren't you the cool kid around.
It has become easier and easier to use "open" wireless connections. Some routers are easy to break into with just a couple of programs. The best way to protect your connection speed as well as your overall connection (if someone misuses your line and you might lose service) is to lock up your router completely.
But then how do I get on? simple. Allow only MAC address access. It is very simple to set up on any router. Basically the way it will work is that a list of computers trying to connect to your router would appear, and you can add yours to a safe list. This is not necessary, but I even stop my router from broadcasting its ID.
So How do I do this? Most routers are pretty easy to get into. There is a default IP for the router, and once you log in (if this is your first time connecting to your router, the manufacturer will provide you with the default user name and password). Change your admin password. (if you have a hard time remember passwords, I actually wrote a whole article about that here
Once you have a new admin password, locate your wireless settings and restrict access by using only MAC addresses. If you do not see the settings or want to follow a step by step, the manufacturer of your router will have detailed instructions on their website.
Be safe, the internet is a jungle.