Where do I setup the password of the linksys router?
I googled it based on the model from your screenshot. Here's a pdf - look at page 163:
The option to set the password to control access to the router itself is probably on the "Admin" tab.
There doesn't seem to be a "Wifi" or "Wireless" tab. That's where the option to set the passcode or passphrase (depending on whether you've enabled WPA or WEP2 access) would be found.
Have you checked the "Bridging" or "Services" tabs?