Need to change setting

I just had to buy a new computer. During the set-up I checked the box that
said "This computer is always connected to the internet" Afterward I
realised that this wasn't the setting I had on my old computer, and I'd like
to change it so that it requires a password to sign on. I've looked, but I
can't find the place to change it. Can anyone help?

Thanks for your time.