Just go to the Wifi security page and change the password there. Note that you'll have to reconnect all wifi-connected devices using the new password.Need a few more guidelines for help and info.
1) On the D-Link setup or wizard page, how do I change the default WPA2 passphrase which is also known as network key, I suppose?
Not really anymore; most computers can still see the SSID, it's just broadcast as "Hidden network" now.2) Will hiding SSID make it more secure? If so, how to go about with that?
3) Would it be a good idea to enable MAC address filter?
Can be; it restricts systems that connect to your network by only allowing devices' MAC addresses that you specify are allowed in the list.