the basic thing they can do is access the internet through your router. the more serious though, is that, if any computers have file sharing enabled, that they can access your files, and copy them to their computer. they can also upload a virus, and also, if you have a download limit, download more than that, so it costs you extra
if you dont have at least a wep key, all they need to do is go to wireless networks, which will show near the clock, click to show which wireless networks are available, and then click connect.
if you can access your modem properties through the computer, first turn the modem off, so that immediately chucks them out. then choose to have a wep key, or a wpa key, which is stronger. you prob will have to enter a code, which is more than likely on ur router somewhere, but if not, maybe its on a card somewhere? or you may be able to create one. once youve entered it, and verified it, youl have to enter a code to access it wirelessly, so that should make it harder for him.
make sure you have your firewall setup too, so it can block people accessing your files etc
look on google, itl give you more prescise steps to do, but hope this has helped :)