A Maplins only product, as sitecom make routers and components for a lot of vendors. If you can access your routers admin screen (address in the manual) something like 192.168.1.1 (example only) you should be able to configure your security from there....But the thing is YOU MUST SAVE the new configuration for it to take effect. If you don't...The dumb box defaults to it's non-protected settings.
If you have done this and it still refuses to retain settings, then it sounds as if you may have a faulty box.
Also some (very few) routers will only retain there settings if left on at all times....(most people do this as they require very little power)
Also have a look here on the Sitecom site to see if you can find updated drivers / firmware updates