Don't bother with WEP - waste of time and easy to break into.
If you can use WPA2 use it, if not use WPA.
I'm not sure if the button is like what is found on the Linksys routers, but they just set up a password + configure devices without needing to mess about with the webadmin panel etc
Just remember - the best security is no wi-fi. If you use it, turn it off when not needed and change the password regularly. Set it up so it's locked to MAC addresses too - these are not hard to sniff either, but every layer helps.
edit - doh, beaten. Got to stop leaving tabs open for so long