If you can login to the router with no password, then once you do login, click "Tools". That will bring you right to the admin tab. You can set two passwords. One for the router admin, which has full administrative rights, and a user password, which would allow users to login, but only view settings.
But that isn't the root of your problem if someone is using your network for internet activity. That would be due to a lack of security on the wireless network. You should set the strongest security that is common between your router and network interface card. (Some older network cards might not support WPA2). If both the router and network card support wpa2, you should choose that as your security with AES as your cipher. (Choose Setup, Wireless Settings, and Manual Wireless Setup, to do this).