The WEP protocol is older and less secure than WPA, so your best bet is to use WPA. But the truth is, even WEP is most likely good enough for you. It's not as if your home network has CIA-level classified secrets. So it's not likely that intruders or snoopers will want to spend large amounts of time and energy trying to break your encryption, even if it's as weak as WEP. You mainly want to use encryption to protect your network against passers-by and war drivers looking to make a little mischief.

How you set up WPA differs according to your router. In a Linksys WRT54GX4, log into your router administrator screen, click the Wireless link, then click Wireless Security. Choose your encryption method from the drop-down list, type in an encryption key, and write it down on a slip of paper, because you'll need to use it at each PC. Click Save Settings.

After this, you'll have to set up encryption on each of your PCs, using the same key as you used in the router. In XP, on each PC, click the wireless connection icon in the System Tray and click the Properties button. Click the Wireless Networks tab, highlight your network, click the Properties button, and then click the Association tab. In the "Network Authentication" drop-down box, select your encryption method. In the "Data encryption" dialog box, choose TKIP. Next, uncheck the "The key is provided for me automatically" box. Enter your WPA key in the "Network key" box, and type it again in the "Confirm network key" box. Click OK and then OK again. The PC can now connect to your network using WPA encryption.

This is part two of six steps to securing your wireless network.  See step one here.