What I did with mine is this.
1. Change the default password.
2. Change the SSID. Use a simple word, it doesn't have to be too elaborate.
3. Setup WEP. Use 128-bit encryption and use a good passphrase. Change the default Key and default Channel.
4. Disable Remote Administration.
5. Disable DHCP. Manually assign IPs.
6. Enable the MAC filter. Get the MACs from your other devices and program them in. Using IPCONFIG or WINIPCFG on each machine will get those for you.
That's about it. It's not really that hard. Once you get it, just come back and ask again if you get stuck.