You will have to log onto the router and change your wireless setting on it. I recommend using a WPA2 encryption with a password that is letters, numbers, and at least 1 special character. Commonly "P@ssw0rd" is used for this scheme, but that is to often so I would recommend that you not use that. After you have changed the setting and saved, restart the router. This will kick all the people that are connected to it off and you will have to log onto it with the password you created.
Two choices, you can change the pass word so they can't get in. Or two, if they're hacking your router through rainbow tables or some such, if you can monitor your network and prov it, you can call the cops XD