It might seem complicated after reading the introduction, but it is really as simple as putting in a password. In Windows XP, view available wireless networks, choose the secured wireless network from the list. You should get a prompt to enter a security key. This is the WEP key. You have to know what this is--either you will have been given it or will have set it up yourself with your access point. In a coffee shop, for example, they have probably given you a 10 character key made of numbers 0-9 and characters A-F. You'll have to put it in twice, and then click OK. That's all there is to it.
There are a few other settings that you may want to adjust, depending on if the network is at your home or your work. There may also be a few options to set if there are several wireless networks available in the same location. You probably won't want to do anything else if you are accessing the network while you are travelling.