Haven't used the Linksys, but AFAIK, PPPoE is for ADSL use only. I think it's the same for PPTP.
Wireless G (802.11g) and 802.11b are two different types of wireless network connection. If you don't have a wireless network card (or aren't using a laptop with Centrino processor), you won't need to worry about either.
If you are using a computer with Wireless connection, then XP (and Mac OS actually) are good at automatically configuring themselves for wireless networking.
However, if you will be using a wireless network, I recommend you read
this first. It's an article on wireless security that was originally written by StuartBe and then modified by Nemesis (who's currently a moderator on this forum).