On the router:
Change the SSID to something other than the default and set it to "Non-Brocasting".
Change the Wireless Security to WPA2 if all of your devices support it, or use the lowest common denominator.
Enter a passphrase that is not easy to guess.
On the client:
Setup a custom wireless network, select Access Point or equivalent.
Enter the SSID. Check the "Connect if not broadcasting" option.
Enter the passphrase that you configured on the router in the Wireless Security settings.
Let me know if you have any more questions about it.