I have WEP 128 bit on, and mac filtering, Im told this isnt enough, but its a start.
Open your Web browser and type
http://192.168.1.1 it should prompt for the name you assigned for the router and the password.
Go to wireless, and then wireless security is a subcategory, enable WEP and choose a phrase to generate your hex key.
The hex key should be remembered by windows after the 1st time you connect using it on the wireless pc.
Mac filtering is also a subcategory on wireless, so just select it (do this from the wireless pc) and tell it to only allow that mac to connect wirelessly.
I'm sure theres a lot more you can do, but thats what I got...