When starting out on wireless security, always have the means to make a wired connection, or at least to do a settings reset on the router, in case you lock yourself out of wireless.
NAME the router, so you can be certain it is your router that you are connecting to, and not another unsecure one of the same make and model. Use a name which does not obviously relate to you or your location. You should also set/change the router admin password.
Use WEP, with 128 bit key, 256 bit if all components support it.
This is generally set up by typing a WEP key "passphrase" into the router, which converts into several hexadecimal keys that you will need to use (one of) on the the client systems - using the standard WinXP method, you will be prompted for the key if you try to connect to a secure network and have not already set it.
WEP is a start, but concerted attack can break WEP keys.
Second line defence, is setting the router to only accept the wireless MAC addresses that are known to you - this should be a section, where the currently connected id's are shown - remember that this restriction must be released at any time you wish to add a new system or adapter, and then re-engaged after checking in the new adapter address.
TAKE CARE - it is not a good idea to apply this to wired connections, unless there is a real possibility of unauthorised users actually plugging in to the router. Many routers will offer this as a feature for wired and/or wireless, but to do both increases the chance that you will have to scrap all settings with a reset, if you mess up.
Disable SSID broadcast - use this option with care, as while it hides the router from casual scanning, it seems to result in a lot of cases of non-connection.
(bitter experience, now you know why I consider an alternative wired access to be essential).