Hello,
They're called key indexes. Commonly, there are 4 key indexes. The point of having several key indexes is so that you can create multiple keys, all of which can be revoked at any time.
For example, I could have two different WEP keys set up on my wireless router at home. I could set all my home computers in the house to use key 1, while making my friends (who connect their laptops to my network) use key 2.
If I decide that I don't want my friends to be able to connect to my network anymore, I can then revoke / erase key 2. Since all my home computers use key 1, they will be unaffected.
If your router and network devices support, I strongly suggest you use WPA instead of WEP.
MAC address filtering is good because it explicitly states which network devices can connect to the router. All other MAC addresses not defined will be denied access. The downside to this is that each time you want to connect a computer to the router, you need to find the MAC address of the network device and manually type in the address into the router's approved MAC address list, which can be time consuming, and makes the process of connecting less seamless. Nonetheless, it provides an extra layer of security to your network, combined with an encryption method.