On XP:
Double click the wireless connection icon in the taskbar, then click the Support tab. The default gateway is the IP address of your router. Type this address into your browser and you'll get the login page of your router.
Google for the default username and password for your model of router (admin/password seems to be a favourite) and you can see the connected devices, and possibly also a log of devices that have ever connected.
Enable WPA security and set a passphrase that you'll remember. Save your settings and your router will kick you out. Next time you try to connect to it you'll be prompted for the same passphrase (it should only ask you once as your PC will remember it).