Securing wireless network

I have a Linksys wireless router and want to secure it, so that no-one else can connect to it. Could someone please tell me how to set it up so that you need a key? I've checked the book that came with the router, but it doesn't give you instructions on how to do this. I've also checked out their website but still couldn't get it setup. I had someone in the other day who showed me how to do this, but my router keeps resetting itself. When he showed me I think he selected WEP and then two boxes came up one to enter a passkey and one to confirm it, but when I try I keep finding other stuff but not this. Could anyone please help me?