In order to protect your data from snooping or prying eyes, you should encrypt, or scramble, it so that nobody else can read it. Most recent wireless equipment comes with both WEP (wired equivalent privacy) and WPA (wifi protected access) encryption schemes that you can enable.
WEP was the encryption scheme included with the first generation of wireless networking equipment. It was found to contain some serious flaws which make it relatively easy to crack, or break into, so it is not the best form of security for your wireless network.
WPA was later rolled out to provide significantly stronger wireless data encryption than WEP. But, in order to use WPA, all of the devices communicating on the network need to be configured for WPA. If any of the devices in the chain of communication are configured for WEP, the WPA devices will typically fall back to the lesser encryption so that all of the devices can still communicate.
Refer to the owner's manual for your wireless router or access point to determine how to enable and configure encryption for your device. Once you enable encryption on your router or access point, you will need to configure your wireless network devices with the proper information to access the network.
If you can use WPA you should because it is much more secure. However, even WEP is better than nothing and will keep casual snoopers and novice hackers out of your wireless network. Using encryption with a longer key length will provide stronger security, but with a slight performance impact.