How to setup a firewall between my wireless router and my network?

You can do this by logging into your wireless router. Depending on the organization your with and your modem capabilities. You can simply either login via a browser of your modem. E.g google chrome. Web address is your routers name. E.g router login.net

If this doesn't work find out the router and your network plan on the internet. And find how to access your network on that organizations webpage.