You should make sure your router's wireless connection is secured with WPA or, if supported, WPA2. The first time you connect wirelessly, you will be prompted for the encryption key and Windows will then save a 'profile' which is used to connect automatically in future when the network is available.
Others won't be able to connect to your wireless network without first entering the WPA/WPA2 encryption key.
I wonder if the "password protection" that you set up is for accessing the router's configuration pages, which is not the same as securing your wireless network. Wired ethernet connections are not secured because obviously a physical cable has to run between router and computer.