Rahl here has already given you more then enough information to stop this guy from stealing your bandwidth so I won't elaborate much more..
Usually setting a WEP key is enough (I know it's easily crackable bla bla bla) but most people don't takes those kind of steps to crack it. The best place to start is to access your router in IE (someone already posted instructions on how to do this) and enable WEP. If this still doesn't work (remember WEP is easy to crack with the right tools) then go deeper and removed DHCP and set MAC based authentication, don't forget to hide ssid as well.
Start with the basics and work from there! If you need help on how to set a WEP or how to do any of the stuff listed in the thread toss me a pm, I can walk you through it. As Rahl said though, let's hope you don't have someone like me who wants to steal your bandwidth, because there is nothing you could realy do with a linksys lol.
