Ok.
First things first.
Hiding the SSID means that people cannot scan and find your wireless and then try to hack into it. Simple as that. They can use other means, but it just makes things a bit harder for them.
Now, you SHOULD have all the details (you know, SSID, password, WEP/WPA/WPA2, channel, etc. If not, why not? Print the settings off from the router) so you can set the network up manually.
As has been said, always use WPA or WPA2 IF you can. Things like Nintendo Wii's and DS' do not support WPA, only WEP, and it's the same with my stepkids' laptop with a Belkin "N" wireless card (so I had to set it up with bloody Window Zero Config instead of using the Belkin software) so, depending on what you have at home, WEP may be your only option. There are other ways to make things harder for people trying to break your ntwork, like MAC filtering, but someone who is determined will get through everything. But by that time he'll be using a neighbour's wifi because they didn't change the basic password to access the router!! That is one of the first things you should do wit a wifi, change your router password to something you remember easily so some slimeball can't access it.
All of the above has worked fine with me, stepdaughters and nieces are welcome to use my wifi when they are in the boozer below me (why should they pay for interweb when I can give them it free?) and nobody else has gotten into my network. I guess having a 40 letter WPA password, which is stuck in my memory and bears no resemblance to any other password, helps.
Happy surfing!