Look at manual for specific instructions, but it is in the configuration pages of the router under Wireless Security.
To get to the configuration page you have to type in the router IP address, for DLink usually 192.168.0.1 (or type in http://dlinkrouter) into the browser of an attached computer, usual password Admin or admin, and password blank (or admin I think on some old models), then go into Wireless Settings (wizard or manual) and look for wireless security mode -- set it to WPA or WPA2, and a passphrase.
There should be a whole section in your manual called wireless security that has pictures of the configuration pages.
Some of the newer DLink models have a Wireless Security Setup Wizard that will tell you step by step what to enter -- network name (SSID), security type, and a passphrase. Write the passphrase down as all of your devices will need it too.