A security key means the network needs a password, for the reason that they don't want anyone to use it, so either the wireless is only for paying customers, you have to pay to get a key, or its only for internal staff or something?.
If you were meaning how do you setup security on your own wireless network then you'll need to enter the routers configuration page (or use the CD that may have came with it), to enter the routers configuration page usually u type in the routers local address which is something like "192.168.0.1" or something, to find out the address for your router refer to the user manual google it or
1) go START, then RUN
2) type in CMD and hit enter
3) on the black command prompt screen type in "ipconfig /all"
4) the default gateway address for the NIC connected to the router is the addresss for the router.
It may ask you for a username and password, if it does then try combinations of the following
admin, administrator, password, 'blank' (try these for both u/n and p/w) (these should work providing that the default u/n and p/w have never been changed
Once in you can setup a password (refer to google if you need help).