I need help with firewall on router?

i have a linksys cisco "G" router wireless, that i use. its plug into my DSL modem, computer desktop (xp), and ps3. i play online games and i know other people are using my internet because on my fiance laptop she can easily connect to it (it shows as "Linksys" unsecured ) . how can i block it from other users to access my internet router and only me and my fiance can? please help with specific detailed answers, any tips/ideas will be thankful.