What type of router do you Have? On my linksys WRT54G, (had a Dlink like this also), you just type 192.168.1.1 in your browser (in the address bar). A page will come up asking you to enter your password, I think the default is "adminstrator", (you'd want to change this also). All the options are easily changed from this "web interface". The best is to use encryption like WAP or WEP.
Enabling WEP and/or hardwiring your MAC address to the router will stop 99.5% of the idiots out there from stealing your signal.
Anyone with a wireless router who doesn't do this out of the box deserves to be raped. It isn't just people stealing your internet connection, but if they can do that then they have full access to your pc. It would be easy to download some kiddie porn and drop it into a directory on the target pc. Think of the look on the wife's face when she finds it on her husbands pc