In any event...there should be some sort of browser interface for connecting to your router/access point. I assume Dell has given you instructions to "Open your web browser and type the address 192.168.0.1" and configure your router.
The WEP settings should be in there somewhere. Be certain to setup WEP on the router before setting up WEP on your adapter...if you set your adapater first, you won't be able to connect to the router.
You might also have a router option for denying wireless access to all MAC hardware addresses except addresses you specify. I'd suggest using it. Somewhere in your adapter settings you'll see a number like "00:05:5D:95:ED:B2". That's your unique, hardware MAC ID.
So the setting will end up looking like :"Deny all access except to 00:05:5D:95:ED:B2"
I know this isn't very helpful but I don't know how Dell handles their wireless stuff. I'm just trying to give you a general idea of what you need to look for.
Remember, if you lock-down your access point with these two security protocols, and you host a LAN party or something, you're going to have to give your guest your WEP code AND enter their MAC ID before they can connect to your router.