Whether or not you would be asked to set up certain router security measures, it is ultimately incumbent upon you to make sure the required settings are entered if you want your network to be secure. It's unfortunate that the router instructions may not have made that clear. At this moment it looks like you've left your WiFi network without password protection, and the fix should be straightforward: turn it on.
The details of this depend on your router model (it looks like it's a modem/router combo device). If you care to provide the model number, we could find the current manual online and figure the steps needed to get that WiFi protection up and running. Meanwhile, you could check out your router's
web access page and see if there's a tab for WiFi/Security, which is where you enter or change the relevant settings including a password. Note that there also is a router access password (usually on the 'Admin' setup page) in addition to your ISP's internet access password (usually on the 'Basic' setup page).
As to Joe mentioning 'WiFi', substitute that with 'Airport and see if that makes more sense (he may have given the description off the top of his head, or it differs in his OS version). BTW, you don't really need that Airlock widget: clicking on the Airport icon in the menu bar provides basically the same information. Particularly if you've got several WiFi base stations, or are extending your WiFi network to cover your entire premises, it's good to know that Option-clicking on that icon will give you the MAC ID of the device/access point you're currently connected to (dimmed text).
