Start your "Airport Administrator" application (should be in your "Utilities" folder inside the "Applications" folder).
When you see the name of your Airport Base Station in the list to the left, double click on it. You'll be asked for the administrator password for the base station, fill it in and click ok.
A new window opens, and in it you click on the "Airport" tab, if it isn't active already.
In the lower part of the window is a section called "Network". There you have an option to change security settings. Click that button and choose "128 bit WEP", or, if you have the choice to use "WPA" do so (I only have a first generation Airport so I'm not up to date on all the features of Express). This forces everyone to use a password to connect, and also encrypts all traffic on the network.
Also, make sure you have a check mark in "Private network", that way your base station won't tell anyone the name of your network, and it'll be a little more difficult to find it.
Once you've done this, click "Update", and your Airport Base Station will restart with the new settings. You'll probably have to reconnect manually to your network, and specify its explicitly since it's no longer visible.
This is pretty much all you can do, apart from further encryption through SSL/SSH, using PGP for mail etc.