Don't skip it. It's important.
WEP stands for the Wired Equivalency Protocol. It is NOT high security, but it is a reasonable measure to render wireless communications as reasonably secure as wired communications.
Here's a couple of tutorials that should help you get a leg up on the issue.
802.11 WEP: Concepts and Vulnerability
802.11 Security Beyond WEP
Good luck.
My Linksys WRT54G router uses: Wi-Fi Protected Access (WPA) Pre-Shared key, WPA Remote Access Dial In User Service (RADIUS), RADIUS, and Wire Equivalence Protection (WEP) protocols.
From the router help page:
There are two encryption options for WPA Pre-Shared Key, TKIP and AES. TKIP stands for Temporal Key Integrity Protocol. TKIP utilizes a stronger encrytption method and incorporates Message Integrity Code (MIC) to provide protection against hackers. AES stands for Advanced Encryption System, which utilizes a symmetric 128-Bit block data encryption.
For additional security, makes sure to change the SSID of your system, and disable the broadcast of of the SSID so only systems that have pre-knowledge of the SSID can connect.