The router itself?
Or are you talking about setting up encryption for the wireless network?
To password protect the router's admin page:
Open your browser & go to
http://192.168.1.1
The username should be blank, & the default password is "admin".
Select the "Administration" tab. Enter the new password in the two relevant boxes, & select "Save Changes". You router password (to access the admin interface) has now been changed.
If you're asking about protecting the actual wireless network....
Have a read of this -
http://www.cableforum.co.uk/board/article.php?a=12