Understand, the following is my opinion, based on my personal experience.
I would like to start a wireless network but some things confuse me.
The first thing is which version should I get 802.11b or 802.11g
I'd definitely go with 11g. The difference is speed (5x faster) and security features (11b does not support WPA).
Go with 11b only if you are severely budget contrained, you are satisfied with sub-10Mbps performance, and you are isolated enough (physically) that you don't care about wireless security issues.
The various speed-booster wireless devices will mostly restrict you to the same brand equipment throughout. I have no experience with the now-emerging 11n - which is faster yet.
Second what Security features should I look for like Mac Filtering, Wep, etc.
You will need a firewall function at your point of connection to the internet. This is usually provided in the router. It may already be there, depending on how you get your internet service. On the wireless itself, if you need security, use WPA. This, as I said above, is only available on 11g and up equipment.
Make sure you change the default admin passwords on your wireless router setup screens, and change the default broadcast SSID name.
A lot of manufacturers have implemented their own "addons" to 802.11g. Sometimes you'll see manufacturers claiming 108mbps and the like. Typically this only works if all your equipment is from the same manufacturer. My advice is to stay away from anything that isn't an industry standard. 802.11g is a standard, and all 802.11g equipment will work together regardless what manufacturer makes it. Typically the manufacturer's call their enhanced products things like "speedbooster" or "rangeextender". If you only have two PCs, you can get by with a plain jane wireless router. The Linksys WRT54G or Netgear WGR614 are both good places to start looking.