Newer wireless routers should support the more secure WPA (Wi-Fi Protected Access). Use that instead of WEP.

Also, change the network name (SSID) to something incomprehensible (I just use a random sequence of letters and numbers) and set the router so that it does not broadcast the SSID. This makes it more difficult for outsiders to find your network, but comes at the cost of you having to manually enter the SSID on your other computers which you will connect wirelessly to your network (though you'd only need to do this the first time).

One last point, remember to change your WEP/WPA passkey, SSID, and Administrator password periodically. (I should follow my own advice!)

FewMiles..