Okay so you just did the auto setup button. That's fine. Here's what you do. Login to your router's web interface management system. (Open up a web browser and type in your router's IP address)
For a linksys it is normally 192.168.1.1
It will prompt you for a password and login name. Login is "admin" and password probably should be left blank if this is your first time logging in. Or the password may be "password" as well.
Once you login. There's numerous tabs to look through at setting up various router settings. You can pretty much change anything there. Find the security tab. in there it should have options for setting WEP, WPA etc etc. types of security codes. Find where you can put a password in and make it whatever you want! There's diff options like 64bit, 128bit and 256bit. Those are all saying how many characters do you want the password range to be in between basically. 64bit is usuualy 8-10 I believe and most commonly used for home networks as it's easier to remember.
Just set your new password and click apply changes button at bottom of page and the router should instantly be reset to that password. Now anyone connected to the wireless network before that will be kicked off and have to enter a new PW to get back on the network. So if you're doing anything while doing this, like downloading, pause it or something.
If you need any more help I'll try to explain everything best I can. I think you can figure it out from this though. It's not difficult. Just make your way through the tabs and see what you can change. It's also a good idea to change your SSID (network name) away from just "linksys" by default, and make it "your name" or something like that, so it doesn't conflict with anyone else who has a linksys router and left it on "linksys" as default SSID as well.
One other thing. WPA is far stronger than WEP for security. So either one works, with WPA being better. They both work the same. WEP asks for a key which = a password. WPA asks for a passphrase which = a password. Essentially the same thing.
-Chris