I'm not familiar with the linksys, but a good place to start is
here. The basic idea: change the default password to the router configuration page, enable 128 bit WEP with a strong passphrase, and allow only specified MAC addresses to access the LAN. (It will be pointed out, correctly, that WEP will result in a performance hit, and that if you enable exclusive MAC addresses you might not need WEP. Me, I'm paranoid - tho' not enough to forego wireless - so I do both.)