I've had trouble searching for this as my problem is quite complicated (for a search engine) so I hope you guys can help me

Basically I would like a way to password protect my macbook pro from people who may be logging into the server I am currently connected to, but it is slightly more complicated than that.
I am in a student accommodation (a large accommodation with a shared network supplied through an ethernet port in my room), and I have a wireless router (WEP protected) hooked into that server. From this router I connect my Desktop Windows 7 PC, a PS3 and Macbook Pro wirelessly.
I notice that when I go to Finder > Connect to a server, it lists other macs in the accommodation, so I am getting worried that they will be able to connect to me and view/delete my files (if they were so inclined).

I have not setup any password protections apart from the default login password for the Macbook and I do have the firewall active, but I am wondering whether there is a way to password protect my server so that when anyone goes to connect it forces a password authentication.

I hope this is legible and any help really would be appreciated as Im slightly worried

Thanks guys!