Securing wireless router

Can anyone tell me how to secure my linksys wireless router with a passkey? I've tried looking at the instruction booklet, but it doesn't say, and I tried the website, but got no joy there either. I got someone to show me the other day and remember when they done it two boxes came up to type in a passkey and confirm it, but anything that I call up now isn't anything like this. Can anyone please help?