1) Are you using dialup or broadband? If broadband, do you have a wireless network also? More details would certainly help!
2) If dialup: change your password, then no-one else can use it...
3) If broadband (wireless) - make sure you have at least a WEP password turned on. If you do already, change it.
4) If broadband (non-wireless), surely you would see them with their computer plugged into your modem/router??