i just found out how to protect mine and I have a linksys too, so I'll try to help you out.

open up IE and type in http://192.168.1.1

default password should be "admin" there's no username. see if you can do that.

then in the SETUP tab, check "mandatory" for WEP.
then click on WEP Key Setting
enter something and press generate.
write down what you see in the box next to the "key 1"
for default TX hey, leave it at 1.
click apply and exit

now log in your wireless connection w/ the key.