Basic Secure Wireless Connection

Have you tried the manual? Think my Linksys came with a quick start guide.

Usually you can configure the router via a browser interface just point Safari to http://<your router ip here> (if you don't know your router ip you can try http://192.168.1.1), you will probably want to change the SSID (the "linksys" you mention), change the admin password you use to login to configure it and also enable some form of encryption - I would recommend WPA (PSK) and choose a long random keystring, this will then need to be entered onto your client machines too.

Obviously if you are tinkering with wireless settings it might be easier to set everything up via a wired interface.

Hope that helps

 

Definately... and if you're the only one who will be using it, turn off SSID broadcasting (if you can on your router).

You should also use a wired connection as uchuff mentioned.