Setting up the MAC address filter will depend on your specific wireless router. I can give you some info on setting up a LinkSys router if you want, but other than that you should refer to the documentation provided with the router or on the companies website.
As for finding the MAC address for each machine, you should do this. I will assume you're using some flavor of 10.3, if not, 10.2 is similar but not exactly the same.
Open System Preferences (Applications->Utilities->System Preferences).
Click on the Network globe under the Internet & Network section.
This should bring up a listing of your available connections, double click Airport.
You will then be able to see your Airport ID, which is your Airport card's MAC address.
You would then setup your MAC address filter on your router to only allow your machines MAC's and you should be set.
Let me know if this isn't clear or if you need any more info.