It's not going to be particularly useful to seek help with a D-Link product here. To be sure, some Mac owners use these routers, but without specific knowledge of that particular model, it would really only be possible to give you broad and general advice on it.
You might, therefore, find a better line of assistance at the D-Link site (
http://www.dlink.com/) and from the instructions/user guide for your specific device. If you don't have the instruction/user guide for your device, you should be able to access it there.
That said, having used a D-Link 604 for some time, and not had any issue with setting security, I'd be surprised if your unit were not capable of this. In the security screen when you access the router, there should be a button to save or confirm changes which you need to click once you have set the security type (WPA is more secure than WEP) and the required password.
Likewise, with MAC address filtering, though beware that when setting this, you will need to specify the MAC address of your system (specifically the interface you use to connect it, so if wifi, the MAC of the system's wireless card) at the outset, otherwise once set, you won't be allowed access to change it!
D-Link user guides are not the best written in the world, but are reasonably easy to follow.