Just bought one and I have the thing running great (D-Link DI-624) but I was wondering how to set up the firewall on that thing.  The more secure the better...

Any ideas?

Here is a FORUM

To access the router setup you usually go to your browser and type 192.168.0.1 and you can login to your router controls. The IP might be slighty different depending on your router brand, check your manuel.

DI-624?  That's same router I used before DGL-4300 come in.  Firewall is on by default.
Do what madmanfrommars say.  It's in Advanced tab.  For more secured, add MAC filters.  It's very useful against unwanted users from invading computers or internet access (wired and wireless both).
Make sure had your computer's MAC added to whitelist first before reboot.  I made a mistake which got my computer lock out from internet.  Only way to fix it by reset the router.

*edit* dont forget updating the router with latest firmware.

As mentioned, the cable/dsl routers normally have firewalls turned on by default.  Generally, depending on the model and what you're doing behind it (some games and/or VPN applications don't play nice by default), you may need to play with "virtual server" settings, but if everything works, generally you can leave them alone (although updating to the latest firmware isn't a bad idea).