When dealing with wireless network you should use WAP, as it's more secure than WEP. However, if you have an older 802.11 device, you may not have a choice but to use WEP. Setup is very simple.
If you're not too familiar with home networking, Linksys has a tool that can setup your router:
http://www.linksys.com/servlet/Satel...=7829277881L05
This article from MS titled "4 steps to set up your home wireless network", has some excellent info as well:
http://www.microsoft.com/athome/more...lesssetup.mspx