Well I'm assuming you're running Wireless in either open mode or weak wep which can be broken rather easily.

If this is a wired connection router then yeah would think along the lines of Mart in that someone owns your box and you best run some Anti-Spyware and Anti-Rootkit tools on it.

Because someone has broken into or is using your wireless connection does not mean they have access to your systems, but could mean that they do.

Not a bad idea to run a good Anti-Spyware just in case.

Really recommend WPA2 with ASE for Wireless security.