|If they are using the same internet connection then they probably have permission and aren't stealing the bandwidth.|
Hogging it.. Sure but not stealing.
Well is it a wired or wireless connection? Are you paying the bill? If so then set rules for what applications and downloads are and aren't acceptable.
What model router do you have? A friend of mine solved the problem with a pair of scissors. Cut the LAN cable to her Son's PC when he wouldn't abide by fair use rules.
Some routers have the ability to limit the type of applications that can access the net. Some allow filtering by URL or domain to block unwanted websites. Generally bandwidth limiting can only be done with commercial grade equipment. Your run of the mill soho router does not have that functionality.
Goin' Fishin' (Some day)