WEP is an older system and though it involves hex keys and is annoying to set up, is actually no longer regarded as secure against anyone with an interest in hacking.
WPA is simpler to set up but takes slightly longer to connect each time than WEP (I think) because the password is translated newly every time you connect. WPA has been hacked but it's more secure than WEP.
WPA2 is newer and more secure than the above.
As stated WEP can be more unwieldy to set up especially 128bit version because of enormously long passwords that are completely impossible to remember in hex. There are sometimes translation issues between different brands of router and network adapter.
To create a new connection to any secured wireless network you need the passphrase OR to hook up by ethernet and have the router setup guide handy.