Senior Raul as you have a non wifi router your a person can use your connection only if he is manually connected to the router. Just installing Comodo or Online Armor would be sufficient protection. I would recommend you to purchase a good internet security suite like Kaspersky or Norton to defend you well.
I do not think you will see an unidentified connection. IF your router is at your home some one has to manually connect through ethernet cable to it to acess it. As you have a non wifi router so you need not worry much.
For other router configurations it is best you flash DD-WRT on to your router.You can search howtogeek.com they have pretty good router setting up guide.
You can use Ntop for network monitoring
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I do not use router based connection except my school uses it and I have worked with it. IF your using a dlink router check this guide
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