If your router supports wireless Internet and if WiFi is enabled, then it is theoretically possible that others connect to your network to use your Internet connection.
While you can make sure that it is harder for them, for instance by enabling the highest security mode or selecting a secure passphrase that needs to be entered to establish the connection, it can still happen that someone else may find a way to connect to your wireless network.
This ranges from trying various passphrase combinations over getting direct access to the passphrase to hacking into the network.
Either way, the result is that someone else is using your Internet connection for activities. If you are lucky, this means basic Internet browsing and maybe some legitimate downloads.
If you are unlucky, this means criminal activities, which range from spamming other users to harassment, hacking, or the distribution of malware.
That's why it is important to make sure that freeloaders are not connected to your wireless network.
The free version of the program Who's On My Wifi monitors your wireless network for connection attempts to notify you about new unknown connections.
Update: Please note that it requires the Microsoft .Net Framework. It is not clear which version though. A similar program without that requirement is Wireless Network Watcher by Nirsoft.
When you first start the application, you are asked to use the scan now button to run an initial scan of the network. The application detected the correct network IP range automatically on my test system, and scanned the whole subset in the process.
You can modify the IP range in the program preferences if that is not the case, or if you want to scan multiple IP ranges.
Every new device connection is classified as unknown by default. You can switch that to known and save the changes so that you are no longer notified when the device is detected on the network.
You can also add a name for each device besides setting its status to known, so that it is even easier to identify.
For each device found, its Mac Address, last IP address, last computer name, connection status, identification status, and description (custom name you pick) are displayed.
The free version of the program is somewhat limited in terms of what you can do in addition to that. According to pricing information on the developer website, it cannot be used to block intruders. In addition, it won't generate reports and only supports local notifications about intrusions.
What you can and should do however is change the WiFi password right away. And if you spot any configuration issues, such as no encryption or not the securest form of encryption, you should resolve those as well while you are at it.
You can make some customizations in the preferences though. The program scans the selected IP ranges in 4 minute intervals by default. You can change the interval to a minimum of 2 minutes or a maximum of 10 minutes.
Other options that you have are to disable the notification sound or window that pops up, to run network diagnostics, or to define when to check for program updates.
There are also mobile apps for Android and iOS that you can install and run instead.
While it is possible to find out if unknown devices are connected to your local network using tools that ship with Windows, it is less complicated to use Who Is On My Wifi for that.
The main appeal of the program is that you do not have to load the command line and run a command on it to find out about it whenever you want to scan the network.
Now Read: Six WiFi Security Myths