WEP is a means of 'encryption' for a connection.. but it is extremely weak, and not much more secure than broadcasting everything plaintext as compared to the other security options that just about every router made in the last 5-7 years has come out with. To determine what type of encryption you're running currently, go to your available wireless networks (lower right corner if windows, Mac is semi-hidden.. and too many commands to list for *NIX-based networks) .. right click on it and go to properties. In Windows 7, it should be right at the top, in a selectable dropdown box so if it is set to WEP.. enter the router config, change it there.. then reboot the router. While you do so, adjust the expected encryption type in windows and then click on 'Ok'. Reboot the machine just to ensure that it's saved, and then it should connect automagically (if set to do so), or will allow manual connect with no issues and be much more difficult to crack.
Edit: AES is one of the best going if your router allows it, some models do not have it configurable, however.