You will have to access the router's setup pages to check what level, if any, of encryption you have. Normally, it will be under the wireless tag.
You can carry this out wirelessly; if you do, when you set the encryption you will lose contact with the router until you set exactly the same encryption on your laptop. This is why it is usually recommended that you contact the router by ethernet, but it is not essential. If you get it wrong, you will have to contact by ethernet to recover.
If it is available to you, use WPA-PK encryption - it is much harder to crack than WEP.
Always write down the wireless encryption key you use and keep it somewhere safe; or use a phrase you will not forget.
If you want to make life even harder for potential hackers, you can hide the SSID of the wireless connection and restrict the wireless cards that can log on by listing allowed MAC addresses.
You should also change the default password and, if possible, the log-on for your router; hackers know the defaults for every brand and can alter any of your settings if they can get in.