WPA (wi-fi protected access) is the best encryption, but you've got to make sure that all connected devices support it. WEP (wired equivalent privacy) is widely supported but can be cracked easily enough, although you're HIGHLY unlikely to be a hacking target.
Whichever you choose, you'll need to make sure that the access code you enter (or are given) on the security tab is exactly the same as the one you enter on the security settings of the wireless network properties of your pc. I'm not sure I understand what I've just written, hope you do!