If it's your router, make full use of the security provided by it.
Change the default password. It's amazing how many people don't do this and you can get straight into their router with a couple of guesses or a quick google search.
WEP is a method of encrypting the data that is sent over the air. This means that other people will not be able to simply 'sniff' your traffic and see what you're doing online, read cleartest passwords, etc. WEP is crackable, but it does take time and a bit of effort so for most home installations it's not worth worrying about.
MAC Address filtering will only allow certain network devices to access the wireless network. It is possible to clone a MAC Address, but this is by no means a trivial task and besides, you'd need to know of a MAC Address that is allowed access to the network.
Other routers / Wireless network cards might have other security settings too. Some of the newer ones are safer than WEP so you should use those if you can - but bear in mind that both the wireless card and the router have to support them so you might run into compatibility issues.
If the router is not your own, then it entirely depends on whose it is. If it's not using WEP or another form of encryption, it's possible that someone is sniffing your traffic. The owner of the wireless access point may also be malicious, intercepting your traffic, or even turning your images upside-down.
When you're not using Wireless, turn it off.
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