With regards to the WEP Browse to
http://192.168.2.1/ which is address of your router.On the left hand side, you will see a link for security (about the 7th option down) the settings are in there. Make sure the key you type in is the same on the router and your pc otherwise the connection won't workI think the blue cable you refer to is a connection directly from the router to your pc, so it is not using the wireless capibilty - I think the USB device you have is a wireless dongle, but I could be wrong.
Others here should be able to help with the rest