securing wireless printer

Do i need to secure my wireless printer?
I have an hp f4580 and have connected it to my pc via wifi which is my only wireless connection. I have no router as my pc is hardwired to a modem for internet.
The connection is fine but states that it is unsecure. How do i secure it?
I am a wireless newbie and am unfamiliar with the terminology and pc settings i may need to enter into.
(ps, have spent hours googling and am getting nowhere!)