You start by entering the router wireless security settings. In the router, "Security Mode" should be turned on(WEP, WPA Preshared Key, WPA radius, etc...whatever form of encryption you decide to use)- I use WPA Pre-Shared Key. If you are having problems with WPA, WEP will work with the B setup if you don't have all the windows updates on the other machine. Then I select "WPA Algorithms" "TKIP", enter the shared key(63 characters "I think", I had windows generate it for me ) and select "save settings".
Then go power on your wireless device, scan for networks and select yours. It should "ASK" for the key. With the WPA-TKIP being so long, I actually put it in a notepad document and transfered it with a USB key to each computer, copied and pasted it into the windows prompt box. After entering the key, XP should do it's little thing, connect, aquire a network address and you have connection. Wireless networking is probably THE reason to upgrade to SP2 in my opinon. It works very well. I was using Intel's Proset Utility that came with my Centrino notebook to connect until I loaded SP2 onto my laptop and I no longer use it, I let windows handle all my wireless conections and it works great.
I use WPA encryption, MAC address filtering and limit the number of IP address that my router can use to try and limit hacking and I don't live in a densely populated area. No encryption is kind of risky.
Also, you did change the default password on your router didn't you?