I have just had computer set up through wireless router.Anyone nearby can access my wireless connection.How do I set up a security protected password so people cannot use the connection

This covers everything you need, although it's not specific to dlink, the tips can still be used.
Securing your Wireless Network (http://www.practicallynetworked.com/support/wireless_secure.htm)

Dadeza, I called my internet provider(verizon) and he connected to my computer and took care of that issue for me. Loved that, just watched him flip through the screen and answered questions. That might work with your provider. Good luck

Can you access your routers home page?