I highly advise you do not leave your wireless connection unpassworded. People can connect to it and download illegal files, child p**n, and a lot of other stuff that can get you in trouble / arrested. I doubt you'd like that.
Set the password, use WPA instead of the aging old WEP. When you see the signal on whatever computer you are connecting to it, just click connect and enter the password you set.
I hope this helps.