Sky supply routers set up for WPA PSK TKIP (as I recall) and the passphrase is written on the case (or in the literature which came with the router.
If you must switch to WEP first connect to the router using provided ethernet cable.
The rest of what you need to know is outlined in docs on the Sky CD.
In case not, go to your browser and type 192.168.0.1 (or 192.168.1.1) press Enter (or whatever) and you should see a login box. The User name is admin and the default password is sky (on the Sky router I have -- but yours is newer).
Once in go to wireless settings and choose a wireless security type (WPA, WEP).
Enter a passphrase (and in WEP you should then also see a series of hex codes)
Note down the passphrase (in WEP note the HEX codes -- or copy and save the string to notepad).
Save and exit.
Go to your wireless adapter setting (or Windows Networking) and apply the security type and the passphrase/hexcode.
Disconnect ethernet cable, see if you can connect by wireless.