NOTE: My router is a Linksys, so if you have a different brand, some of the settings will be in different places.
IMPORTANT: One time as I was doing this, I accidentally locked my own computer out of the router. If this happens, don't panic. All you need to do is connect your computer directly to the router using a cable and change the settings. The MAC security lock will only keep computers off of the wireless function, so you won't permanently lock yourself out.
Step 1: Wireless MAC Filter
Next, access your router's settings. The standard Linksys address is 192.168.1.1. If you don't have a Linksys router and don't know the address, you can probably find it online.
Go to the WIRELESS tab, and access the WIRELESS MAC FILTER panel. Select ENABLE and then PERMIT ONLY. Don't save settings yet. Click the EDIT MAC FILTER LIST button.