Ok, here goes nothing...
Every Wireless modem will have some kind of a setup tool. Mine (Microsoft MN700) can be used through IE by typing 192.168.2.1 in the address bar. You then have to log in. Check your wireless modem manual on how to do this.
Once this is done, its very simple. There will be a tab called as wireless security. In that you can choose something called as "WEP". Choose 128bit, as this is more than enough for home users.
Once this is done, you will be asked to put in an hexadecimal key. (you can use only 0-9, A-F). Remember this key as this will be what you put in. Just save this, and exit. you may have to reboot your modem.
Once restarted, check you wireless connection on your computer. It will tell you that its a secure connection, and you need a key for this. Enter this key and access is done. Unless someone knows thsi key, they cannot access it.
Let me know if this works...