Turn the nut on the other side to remove or tighten the wheel, and just open and close the quick release lever itself. The old cliche is that the lever should be tight enough to leave an imprint on your palm when you close it.

If you don't know about him, the widely- and well-respected Sheldon Brown usually has an informative, helpful discussion of just about any cycling-related topic you could imagine. Here's what he has to say about quick-release levers: http://www.sheldonbrown.com/flats.html#quickrelease.