How can I set up security password for my home broadband wireless networking??

I just set up my SMC home broadband wireless networking on to my desktop with Window Me Millennium Edition. And I try using my laptop to go in to the network and it work, but it didn’t ask for the passwork. Why? That mean other people can go on to my network too, right? So, please help to protect my network. 911
Tell me step by step, thanks.