Q: how do i secure my wireless network?

It seems that everytime I start up my computer it picks a different network.  I can't secure my network because I don't know how to do that.  My network is the only one unsecured so I'm sure everyone is using mine if they're having trouble getting on their network.  I hit Apply and the click on the lock but it doesn't hold.  I know I'm missing a step somewhere.  Please help.