Linksys are actually a pretty good brand - partly as they're the domestic division of Cisco. The Linksys router do provide you with sufficent tools to minimise these sort of attacks however you'll never to 110% secure - sadly that's just the world we live in.

As DimaYasny said above; you should try to use WPA instead of WEP - most people with basic knowledge and a packet sniffer can crack WEP.

MAC addressing can be useful as well; but it shouldn't be relied upon as security. As with WEP, MAC addressing is fairly easy to get round but when used with WPA can offer an extra layer of defence from wireless attacks.

Most router have a function called 'DHCP client list' - this will display all devices connected to your router and thier details, usually MAC address and IP address on the router.

Hope this helps,

Dazza