If you don't want other people pinching your bandwidth, you need to secure the wireless connections. By default the router will probably be set up with no security at all, or maybe with WEP (which isn't very secure). You need to go into the router setup and configure the wireless connection to use WPA or (best of all) WPA2 encryption. Which you choose depends partly on what the wireless interface on the PC is capable of - it will almost certainly support WPA-PSK but may not support WPA2, so choose the latter if you can, or WPA-PSK otherwise.