How do I set my wireless network to be private instead of public?

There are a few paths to the correct UI.

"Easiest" : (Use homegroup to get to the UI / No right clicking needed)

1. Tap Win+W to open the search charm for settings
2. Type HomeGroup and Click the tile labeled only "HomeGroup"
3. Click on the "Change sharing settings" button
4. Then select the "Yes" option which corresponds to private networks

"Most Direct"

1. Bring up the "Networks" UI via a Click on the network icon from the desktop taskbar or from the system charm (Win-I)
2. Right Click on your connection and select "Turn Sharing On and OFf"
3. Then select the "Yes" option which corresponds to private networks

Here is the correct UI:

1. Press Win+R, then type secpol.msc
2. Click on "Network List Manager Policies"
3. Double-click on your network
4. Click on "Tab Network Location"
5. Set "Location Type" to "Private"

Go back to Network and Sharing Center to check the result.

Things have changed for Windows 8.1. The public/private setting might be even less discoverable now. Well here is what you need to do:

• Open the PC Settings (Win+C, Settings, Change PC Settings)
• Go to Network -> Connections
• Tap/Click on the network you want to change
• A page with network details opens
• There should be a switch "Find devices and content" -- turn it on

Caveats: The switch is not there if the machine is domain-joined and connected to the domain network. I think the switch is also missing if you are connected to an unsecure WiFi.

See also http://windows.microsoft.com/en-us/windows-8/find-pcs-devices-content-on-network.