I don't know the specifics to your modem/router, but I have both a Linksys and a netgear set up this way.
In the router setup there should be a setting to NOT broadcast the SSID. Usually it's uncheck the box to stop broadcasting.
Next setup WEP at the minimum, but WPA if the router supports it. Enter the keys in the router for WEP/WPA. Write them down since you will have to enter them into the windows network setting.
If you use a utility from the network card manufacturer, enter the SSID as the profile name, then enter the WEP/WPA info into their utility.
If you use Windows XP, click start -control panel - network connections. Right click the wireless connection and click properties. On the wireless tab, enter the SSID, then uncheck the box that says the keys are auto received. Enter the WEP/WPA keys that same as the are in the router. Make sure the type of encryption - WEP/WPA is selected correctly.
click ok and the status should show the connection.
I realize that's a bit vague, but all routers are a little different. So that should at least give you what to look for.
Good luck