Hi,
There are several schemes to securing a wireless connection. The most univerally supported one is WEP with pre-shared key.
To use WEP, you need to choose 64 or 128-bit WEP encryption, pre-shared key authentication mode, select a key index (1-4) and supply a key. The key should be 10 hex digits (0..F) for 64-bit, 26 for 128-bit WEP. For example, this is a valid 64-bit WEP key:
AB12CF345D78
I should note that WEP in general (and particularly at 64-bit encryption strength) is not
very secure. However, it is plenty secure to keep the neighbors off your Internet connection and the 64-bit keys are short enough to be humanly possible to remember when your friend comes over with his laptop.
Your wireless access point may have an option to generate a key from a passphrase. If you use that, keep in mind that you should still remember the resulting hexadecimal key for use on clients. You may be better off just making up one of those to begin with.
You will need to reproduce the same settings on your Windows clients to get them to connect.
Without some third party software for managing wireless connections, Windows XP doesn't prompt you to supply WEP settings when you try to connect to a secured network -- it just fails. The best way is to add your wireless network manually. When you do that, be sure to type the SSID correctly and in the same case as on the access point, select all the same WEP settings, and use the same key.