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You just go to the router though your web browser(or at least most I mess with these days let you do that[would help if I knew what kind of router/access point you used]). You do this by typing the ip address of the router into your web browser.

At this point you should be prompted for your admin name and pass.

Once in it will likely differ depending on the brand, etc. With mine all stuff wireless(or close enough) is under the wireless section. From there you look for the bit that deals with 'Wireless Security' and than set the security mode as you wish. Mine surprisingly enough started as disabled.
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